Nov 19, 2009 - 5 FIX Application Messages â Participant to Bats. 16 ...... PartyID. The short code representing the cl
Bats Europe FIX Specification Version 2.99 20 September, 2017
Note: Changes highlighted in red are effective from Friday, 27th October 2017 Bats Trading Limited is a Recognised Investment Exchange regulated by the Financial Conduct Authority. Bats Trading Limited is an indirect wholly-owned subsidiary of Bats Global Markets, Inc. and is a company registered in England and Wales with Company Number 6547680 and registered office at 10 Lower Thames Street, London EC3R 6AF. This document has been established for informational purposes only. None of the information concerning the services or products described in this document constitutes advice or a recommendation of any product or service. To the extent that the information provided in this document constitutes a financial promotion as defined by section 21 of the Financial Services and Markets Act 2000, it is only directed at persons who qualify as a Professional Client or Eligible Counterparty. Persons who do not qualify should not act or rely upon it.
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Contents 1 Overview
4
1.1
Hours of Operation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
1.2
Timestamps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
1.3
Symbology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
1.4
Tick Sizes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
1.5
Hidden Orders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
1.6
Bats Dark Pool . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
1.7
Fee Codes and Access Fees Returned on Execution Reports . . . . . . . . . . . . . . . . . . . . .
6
1.8
Service Bureau Configuration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6
1.9
Order Price Collars . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6
1.10 Reserve (Iceberg) Orders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6
1.11 Peg Order Pricing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7
1.12 Routing (Parallel-D and Parallel-2D) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7
1.13 Bats Plus
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7
1.14 Bats DRTOnly . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7
1.15 Interbook Order Types . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7
1.16 Dark Lit Orders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8
1.17 Account Field . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8
2 Bats Specific FIX Fields 3 FIX Session Protocol
9 13
3.1
Sequence Numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13
3.2
Logon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13
3.3
Heartbeat . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13
3.4
Test Request . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
14
3.5
Resend Request . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
14
3.6
Reject . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
14
3.7
Sequence Reset . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
14
3.8
Logout . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
14
4 Standard FIX Message Header and Trailer
15
4.1
Header . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
15
4.2
Trailer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
15
5 FIX Application Messages — Participant to Bats 5.1
16
New Order — Single . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
16
5.1.1
Notes on Pegged Orders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
22
5.1.2
MiFID II Short Code Identifier Ranges . . . . . . . . . . . . . . . . . . . . . . . . . . . .
24
5.2
Order Cancel Request . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
25
5.3
Order Cancel/Replace Request . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
25
5.4
Trade Capture Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
27
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6 FIX Application Messages — Bats to Participant
32
6.1
Execution Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
32
6.2
Cancel Reject . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
37
6.3
Trade Cancel/Correct . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
38
6.4
Trade Capture Report Ack . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
39
6.5
Trade Capture Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
42
7 Example Messages and Message Flow
46
7.1
New Trade Capture Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
46
7.2
Trade Capture Report Cancellations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
47
7.3
Trade Capture Report Amendments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
48
7.4
Deferred Publication Trade Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
49
7.5
ETR Matched Trade Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
51
7.6
Withdrawing an ETR Matching Instruction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
52
7.7
Withdrawing an ETR Matched Cancellation Instruction . . . . . . . . . . . . . . . . . . . . . . .
53
7.8
ETR Matched Trade Report with Consideration and Tolerance . . . . . . . . . . . . . . . . . . .
54
7.9
ETR Matched Trade Report with Price and Tolerance . . . . . . . . . . . . . . . . . . . . . . . .
54
7.10 Third Party Confirmed Trades
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
55
7.11 Bats LIS Trade Confirmations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
56
7.11.1 Party Roles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
56
7.11.2 Booking Type and Fee Code . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
56
7.11.3 Examples
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
56
7.11.4 Standard Trades . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
58
7.11.5 CFD Booking with Give Up . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
59
8 Common Session Level Issues
60
8.1
Ordered Message Processing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
60
8.2
Logon . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
60
8.3
Message Recovery . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
60
8.4
Resend Request . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
61
8.5
Sequence Reset – Gap Fill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
61
9 FIX Drop
63
9.1
Standard FIX Drop . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
63
9.2
Order By Order FIX Drop . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
63
9.2.1
Bats LIS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
63
9.3
Port Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
63
9.4
Bats LIS ODROP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
64
10 FIX Differences Between US and Europe
65
11 Support
67
Revision History
67
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1
Overview
This document describes Bats interpretation and implementation of the FIX 4.2 specification. Bats uses a subset of the FIX 4.2 protocol for order entry and drop copies. It is assumed that the reader is familiar with the FIX 4.2 protocol as described by the FIX Protocol Organisation. Bats operates separate pairs of integrated and dark order books. These are distinguished by the identifiers BXE and CXE. The functionality described in this document applies equally to BXE and CXE FIX sessions.
1.1
Hours of Operation
Refer to the Bats website for hours of operation. All orders are live upon acceptance by Bats. Orders are rejected if they are received outside the hours Bats is available for trading. Bats does not support maintaining orders for multiple days (GTC orders). All open orders are canceled on close of the market. Participants will receive an execution report for every open order with ExecType (150) = 4 (Canceled).
1.2
Timestamps
All FIX timestamps are GMT as per the FIX standard. Participants are expected to synchronise their clocks with an external time source.
1.3
Symbology
Bats accepts three symbologies: Uniform Symbology, RIC and ISIN. Different symbologies may be used on different orders, but it is recommended that Participants use the same symbology for all orders. If using Uniform Symbology to identify a stock, the Participant: • must set Symbol (55) to the Uniform Symbology symbol; • may optionally set the SecurityExchange (207); and, • may optionally set the Currency (15). If using ISIN to identify a stock, the Participant: • • • • •
must set IDSource (22) to ISIN (4); must set SecurityID (48) to the ISIN; must set SecurityExchange (207) to note the market in which the ISIN trades; must set the Currency (15) field to identify the currency in which the stock is traded; and, may optionally set the Symbol (55).
If using RIC to identify a stock, the Participant: • • • • •
must set IDSource (22) to RIC (5); must set SecurityID (48) to the RIC; may optionally set the SecurityExchange (207); may optionally set the Currency (15) field; and, may optionally set the Symbol (55).
If using ISIN or RIC to identify a stock in SecurityID (48), and opting to also send Symbol (55), the Symbol (55) may be specified as the Uniform Symbology symbol, the SecurityID (48), the RIC or the Ticker code. A RIC in either SecurityID (48) or Symbol (55), may be supplied as either a Bats or primary market RIC. When specifying an optional value as noted above, the value specified must match the value in the Bats symbol database. Otherwise, the order will be rejected. c 2017 CBOE
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Execution reports will always respond with the same symbology as was sent in the corresponding New Order Single message. For additional information about Bats’ symbology, see the Bats Market Guide.
1.4
Tick Sizes
The minimum price increment, or tick size, is generally the same as that on the primary market. Tick size is subject to change. Orders entered which violate the tick size will be rejected. Midpoint peg orders are not tick size validated and may execute at a price that is one-half the tick size. Where the mathematical mid price has more than four decimal places then the match mid price will be rounded up to four decimal places. Trade Capture Reports do not need the reported or settlement price to be on a tick size boundary. Should the price specified exceed seven decimal places, it will be truncated to such.
1.5
Hidden Orders
Bats allows Participants to place hidden orders which are not represented on its market data feed. Hidden orders include pegged orders and orders which have the DisplayIndicator (9479) = I (Invisible). MiFID regulations require that orders with a notional value less than the Large In Scale (LIS) must be displayed unless routed to the Bats Dark Pool.1 Bats will reject any order submitted which violates this regulation. Where no LIS value is specified in the MiFID regulations, Participants may only submit hidden orders with a notional value greater than the value specified by Bats in its reference data unless routed to the Bats Dark Pool. Bats will reject any order submitted which violates this. Notional value is calculated differently depending upon order type: Limit: Buy primary peg, sell market peg: Sell primary peg, buy market peg: Midpoint peg:
Price (44) × OrderQty (38) (PBBO bid + PegDifference (211)) × OrderQty (38) (PBBO ask + PegDifference (211)) × OrderQty (38) (PBBO midpoint + PegDifference (211)) × OrderQty (38)
More information on the MiFID ESMA database can be found at the ESMA MiFID website.
1.6
Bats Dark Pool
The Bats Dark Pool is a separate book which allows matching of dark liquidity based at a midpoint reference price. Separate Bats Dark Pools are operated for BXE and CXE ports. Orders placed into the Bats Dark Pool do not need to be Large In Scale (LIS). Bats Dark Pool orders only interact with other Bats Dark Pool orders. Quotes for Bats Dark Pool orders are not represented on any market data feed. Matches in the Bats Dark Pool are represented as trades on Bats’ market data feeds and may be differentiated. Orders destined for the Bats Dark Pool must be midpoint peg orders2 . The RoutingInst (9303) must be set to one of the following: BD: Routes only to the Bats Dark Pool. BA: Routes to the Bats Dark Pool if midpoint and not LIS, or to the integrated book otherwise. Non-midpoint peg orders may also be sent with BA and will always route to the integrated book. A limit price may be specified on a Bats Dark Pool order using the Price (44) field. If set, execution still only occurs at the midpoint. When the midpoint is a more aggressive price than the limit price, the order will not be available for execution. 1 Field
RoutingInst (9303) = BD or BA. (18) = M.
2 ExecInst
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1.7
Fee Codes and Access Fees Returned on Execution Reports
The Fee Code returned on an execution report indicates which category of fee is applicable to the trade. Details on the fee codes returned (including the rate charged and description of the category of trade) are available at: BXE: lhttp://www.bats.com/europe/equities/participation/fee_schedule/bxe/ CXE: lhttp://www.bats.com/europe/equities/participation/fee_schedule/cxe/ TRF: lhttp://www.bats.com/europe/equities/participation/fee_schedule/trf/ All fee codes map directly to a tariff on the Bats Europe trading price list, available at http://www.bats.com/ europe/equities/support/price_lists/ under Trading Price List. Participants should program their systems to read, validate and pass along this field in order to avoid making software changes to their system when Bats’ fee schedule changes. Access fees are being deprecated and removed as part of the Q4 2017 release. Participants should be use Fee codes instead.
1.8
Service Bureau Configuration
Service Bureaus require special configuration. OnBehalfOfCompID (115) must be set for Order, Cancel, and Cancel/Replace messages sent to Bats. Orders with an unknown OnBehalfOfCompID (115) will be rejected. ClOrdID (11) values are required to be unique only within a given OnBehalfOfCompID (115). Execution Reports, Cancel Rejects and trade capture related messages sent by Bats will have the DeliverToCompID (128) set. Orders must be canceled or replaced using the same OnBehalfOfCompID (115) as was sent on the original order.
1.9
Order Price Collars
Bats uses market data from the primary exchange for each symbol. This primary best bid and offer (PBBO) is used to create an order price collar. Executions will not be allowed to occur a set percentage above the PBBO best ask quote or a set percentage below the PBBO best bid quote. If an order matches against a resting order, but is outside the price collar, the incoming order will be rejected with reason “price exceeds cross range”. If the primary exchange is not in continuous trading (e.g., is in auction or has closed), the order price collar will be a percentage of the last regular on-book trade price on the primary exchange. If there has not yet been a trade on the primary exchange today, then no collar is in effect. The percentage value(s) used for order price collars is/are defined in the Participant Manual.
1.10
Reserve (Iceberg) Orders
Bats allows the use of MaxFloor (111) for entering reserve (iceberg) orders. On reload, Bats’ market data feeds show a new OrderID in order to hide the fact that the order is a reserve order. A port- or firm-level attribute may be enabled which will cause an execution report with ExecType (150) = D (Restated) to be sent each time an order is reloaded, specifying the new OrderID as will be seen on the market data feeds in SecondaryOrderID (198). The OrderID (37) remains constant for the lifetime of the order. Only the SecondaryOrderID (198) will change. Here is a timeline showing an order and its OrderIDs as seen by the Participant and the market data feeds. # 1 2 3
OrderID (37) 1C3M03000008 1C3M03000008 1C3M03000008
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SecondaryOrderID (198) — 1C3M0300000E 1C3M0300000Q
Displayed Order ID 1C3M03000008 1C3M0300000E 1C3M0300000Q
Notes Initial order entry. Order reloaded. Order reloaded again. 6
1.11
Peg Order Pricing
Pegged orders are priced using the primary best bid and offer (PBBO). If the primary exchange is not in continuous trading (e.g., is in auction or is not currently open), resting pegged orders are temporarily suspended from trading. They will become executable again as soon as the primary exchange is back in continuous trading. Newly entered pegged orders will go into a suspended state immediately.
1.12
Routing (Parallel-D and Parallel-2D)
Orders marked with an appropriate RoutingInst (9303) 3 will be eligible for routing to other market centers if Bats does not offer an equal or better price. Executions for routed orders may be trade reported on the market where the execution occurred and not necessarily on the Bats market data feeds. Notification of each routed execution at another market will be sent to the Participant FIX handler which submitted the routed order. In the event that another market offers a better price, but Bats’ connectivity to that market is down and the market in question is otherwise functioning properly, orders which would route to a better quote on that market (but cannot) will be canceled back. If a market with a better quote is experiencing technical difficulties, Bats may, at its discretion, cease routing to that market and allow orders to post on the Bats book. Routable orders can route to displayed venues and liquidity partners4 . Bats will only route to a market if it is in normal, electronic trading. Bats will not route to a primary exchange’s auction. The routing order types and the markets which Bats routes to are subject to change; contact the Trade Desk or your Account Manager for details.
1.13
Bats Plus
Orders marked RoutingInst (9303) = Y, will be eligible for routing to a single, specified destination. The resultant trade reporting, market data and FIX excecution reports detail will be the same as for Routable (1.12). Other market centres will not be considered, even if they offer a better price than Bats or the specified destination. Some Primary exchanges may not be available with Bats Plus Primary5 . Contact the Trade Desk or your Account Manager for details.
1.14
Bats DRTOnly
Orders marked RoutingInst (9303) = L, will be eligible for routing to selected liquidity partners after exhausting liquidity on the Bats books.
1.15
Interbook Order Types
Dark Sweep and Lit Sweep are interbook order types designed to be a simple solution for multi-book access between BXE and CXE. Orders marked RoutingInst (9303) = U will be eligible for dark book sweeping. Dark Sweep orders are first sent to the dark book associated with the book of entry before moving on to the other book if there is a partial execution. Orders marked RoutingInst (9303) = W will be eligible for lit book sweeping. Lit Sweep orders are sent to the lit book with the best price available. Orders work between books and associated price levels. In the event that the same price is available on both order books, the order will be sent to the book of entry first. 3 1st
character of RoutingInst (9303) is R (Smart Routing) ExecInst (18) = u, v and w for details. 5 RoutingInst (9303) = Y
4 See
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Orders marked RoutingInst (9303) = X will be eligible for sequential lit book sweeping. The order executes on the book of entry up to the order limit, any residual is sent to the other book and continues to be filled up to the limit. Any un-filled portion is cancelled back or posted on the book of entry.
1.16
Dark Lit Orders
Orders marked RoutingInst (9303) = u6 will match on both the lit and dark books on a price/priority basis. Any residual quantity will rest on the lit book (for limit orders) or be cancelled (immediate or cancel orders). There may be limitations as to the markets supported; refer to the Participant Manual or contact the Bats Trade Desk for details.
1.17
Account Field
This field can carry two pieces of information. Firstly a Central Counterparty (CCP) Account Type prefix. If this field begins with H:, allocate to the house account at the CCP. If this field begins with C:, allocate to the client account at the CCP. As of the Q2 2017 release, when an Account Type Prefix is not supplied, the OrderCapacity (47) or OrderCapacity (528) will no longer be used to determine which CCP account to use. The CCP account can be defaulted at a port level if required. Non-prefixed or absent accounts would be allocated to House account. All CCPs support this feature. Secondly is a trading account name/number. With configuration, this can passed to CCPs which support this feature (LCH.Clearnet currently does not). This part must be 16 characters or less. The trading account is configurably available via Drop. 6 See
RoutingInst (9303) = u for details.
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2
Bats Specific FIX Fields
The following FIX fields are specific to Bats: Tag 6655 7570
Name CorrectedSize RptTime
7772
CentralCounterparty
Description UCC trade correction message, this holds the corrected size. Indicates the time at which a deferred trade report will be automatically published. Where RptTime falls outside of the systems operating time, the report will be published during operating hours on the next trading day. When no deferral is requested, or when the trade does not qualify for a deferral, any time returned will match TransactTime (60). Microsecond level precision. Only present on trades. The CCP handling the trade: EMCF = European Multilateral Clearing Facility LCHL = LCH.Clearnet XCLR = SIX x-clear NONE = Clearing Suppressed
7928
PreventParticipant Match
Returned on trades if the participant has selected a Preferred CCP. The FIX port can be configured to always return this optional field. Participant Trade Prevention: 3 characters (not space separated): 1st character - PTP Modifier: N = Cancel Newest O = Cancel Oldest B = Cancel Both D = Decrement Larger7 / Cancel Smaller d = Same as D above, but only decrement LeavesQty (151). Do not restate OrderQty (38). 2nd character - Unique ID Level: N F M P
= = = =
Do not prevent (Default value if not specified) Prevent Match at Participant Level Prevent Match at Trading Firm Level Prevent Match at Port Owner Level
3rd character - Trading Group ID (optional): Member specified alphanumeric value 0-9, A-Z, or a-z. The Unique ID level (character 2) of both orders must match to prevent a trade. If specified on both orders, Trading Group ID (character 3) must match to prevent a trade. The PTP Modifier (character 1) of the inbound order will be honored, except that if the inbound order specified Decrement and the resting order does not, and the resting order is larger, then both orders will be canceled. This exception is to protect the order entry software for the resting order from receiving an unexpected restatement message.
7 Users of PTP modifier D must be prepared to receive a FIX Restatement execution report (ExecType (150) = D) that includes both OrderQty (38) and LeavesQty (151).
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9303
RoutingInst
Bats Only orders – up-to 2 characters (not space separated): B = Bats Only (default) P = Bats Only — Post Only (will reject rather than remove visible liquidity) U = Dark Sweep (interbook) u = Dark Lit Sweep (best-price) W = Lit Sweep (interbook, best-price) X = Lit Sweep (interbook, sequential) BD = Bats Dark Book Only (hidden midpoint peg orders only) BA = Bats Automatic Dark Routed (routes to Bats Integrated Book if order is Large In Scale (LIS) or is not a midpoint order, otherwise continued...
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10
9303 (cont.)
RoutingInst (cont.) routes midpoint non-LIS orders to Bats Dark Book) BP = Bats Periodic Auction Book Post Only does not mix with TimeInForce (59) = 3 (IOC). If a RoutingInst is not specified a default value of B is implied (Bats Only). Order Routing – up-to 4 characters (not space separated): 1st character - Specifies the target destination: R = Smart Route to visible markets (see 3rd character) L = Bats+ DRTOnly 8 Y = Bats+ Primary Listing Exchange 9 2nd character - Used to enable/disable Re-Route On Lock/Cross: N = Do not Re-Route (default) C = Re-Route only if another market crosses the limit L = Re-Route only if another market locks or crosses the limit 3rd character - Specifies the routing strategy: N = Use default strategy (default) D = Parallel-D 2 = Parallel-2D 4th character - Specifies the resting book: I = Rest on Bats Integrated Book (default) D = Rest on Bats Dark Book Resting Book does not mix with TimeInForce (59) = 3 (IOC). In order to specify values for the 2nd , 3rd and/or 4th character the prior characters MUST be populated with a valid value. ASCII NULs (0x00) in the 2nd , 3rd or 4th character positions will imply the default value from their respective position. For example, if RoutingInst (9303) = R a value of RNNI is implied (All visible markets/No re-route/Default strategy/Rest on integrated book). Bats Plus Primary and DRTOnly directed order types do not allow re-routing or strategy selection. The 2nd and 3rd characters should always be set to their default value of N if the optional 4th character is used to rest on the dark book e.g. LNND. If the 1st character is R (Smart Routing) the ExecInst (18) can be used to provide limited control over external venue selection. 10 Re-route is not currently supported for dark resting orders (4th = D). As the default RoutingInst value is subject to change with little or no notice it is recommended you specify values for all 4 character positions if you wish to maintain maximum control of your routing decisions. For more information regarding the various routing strategies available on Bats refer to http://www.batstrading.co.uk/features/
8 RoutingInst
(9303) = PL is deprecated but still valid
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9479
DisplayIndicator
9617 9619
ModifySequence CancelOrigOnReject
9620 9621
CorrectedPrice MTFAccessFee
9688
OrigCompID
9689
OrigSubID
9730
TradeLiquidity Indicator
9882
FeeCode
X = Displayed Order (default) I = Invisible Invisible orders must meet the MiFID requirements for Large in Scale (LIS) unless routed to the Bats Dark Book. Drop only. Base 36 number of times order has been replaced. N = Leave original order alone (default) Y = Cancel original order if replacement fails Default may be configured per port. UCC trade correction message, this holds the corrected price. Only present on trades. Indication of access fee for this fill (up to five decimal places, negative for rebates). This tag is being deprecated and removed as part of the Q4 2017 release. Drop only. TargetCompID (56) of original FIX execution report. Drop port must be configured to send this optional field. Drop only. TargetSubID (57) of original FIX execution report. Drop port must be configured to send this optional field. Only present on trades. A = Added Liquidity R = Removed Liquidity AD = Added Liquidity for the Bats Dark Pool RD = Removed Liquidity from the Bats Dark Pool RT = Removed Liquidity from the Bats Dark Pool by IOC order AI = Added Hidden Liquidity that was price improved AK = Added Liquidity from the hidden (reserve) portion of an iceberg order X = Routed to Another Market C = Auction P = Periodic Auction To allow for future expansion of this field, please ignore values with an unknown character in the 2nd position. Specific fee code associated with the trade. See the Fee Schedule for the respective market for possible values.
9 RoutingInst 10 see
(9303) = PP is deprecated but still valid ExecInst (18) = u, v or w
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3
FIX Session Protocol
Bats uses the FIX 4.2 session protocol. FIX 4.4 is possible should the firm dedicate the port for trade reporting purposes. The Participant will be provided with a SenderCompID (49) and SenderSubID (50) that must be sent on every message. The TargetCompID (56) for all messages the Participant sends will be BATS on BXE ports, or CHIX on CXE sessions. The TargetSubID (57) is TEST for the Bats test system and PROD for the Bats production system. All messages the Participant receives will have the sender and target fields swapped, as per the FIX specification. The following session messages are supported in both directions: Message Logon Heartbeat Test Request Resend Request Reject Sequence Reset Logout
3.1
Type A 0 1 2 3 4 5
Comment Begin session (or resume a broken session)
Malformed message or improper session level handling Both Gap Fill (GapFillFlag (123) = Y) and Reset used to gracefully close session
Sequence Numbers
Sequence numbers, both inbound and outbound, will be reset to one each night during the down time. Messages are processed in sequence order. Behind sequence messages (other than Sequence Reset — Reset) cause immediate logout. Ahead of sequence messages (other than a Resend Request) trigger a message recovery via a Resend Request.
3.2
Logon
The logon must be the first message sent by the Participant after the TCP connection is established. EncryptMethod (98) is ignored (FIX level encryption is not supported). The IP address of the Participant, the SenderCompID (49), SenderSubID (50), TargetCompID (56) (BATS, CHIX or SISE) and TargetSubID (57) (TEST or PROD) will be validated. If validation fails, the connection will be dropped without a reject (to avoid corrupting the Participant’s sequence in the case that the Participant merely mistakenly connected to the wrong port). If the connection is unexpectedly broken, upon reconnection, the Participant may receive a login reply with a sequence number greater than expected. This means that in-flight messages were missed (likely important execution reports). The Participant should issue a Resend request to retrieve the missed messages. Similarly, Bats will issue a Resend Request to the Participant for messages that it missed. The Participant may wish to send gap fill messages in place of new orders to avoid submission of potentially stale orders. HeartBtInt (108) must be specified by the Participant in the Logon message. This value will be clamped between five and 300 seconds and returned in the Logon reply message. We recommend using as low a value as the reliability and latency of your telecommunications channel will allow.
3.3
Heartbeat
A Heartbeat message should be sent if the agreed upon HeartBtInt (108) has elapsed since the last message sent. If any message has been sent during the preceding HeartBtInt (108), a Heartbeat message need not be sent.
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3.4
Test Request
If HeartBtInt + 1 seconds have elapsed since the last message received, a Test Request should be issued. If another HeartBtInt + 1 seconds go by without receiving a message, the TCP connection should be dropped. This ensures that a broken TCP connection will be detected even if the TCP stack doesn’t notice (this has been observed to happen in WAN environments, particularly when a VPN is involved).
3.5
Resend Request
A Resend Request message should be processed even if it is received ahead of sequence. Only after resending the requested range (all marked PossDup (43) = Y), including any gap fills) should Resend Request be issued in the opposite direction. As discussed in the FIX 4.2 specification, it is possible to send an open or closed sequence range in a Resend Request (an open range uses sequence zero as the EndSeqNo (16)). Bats will honor either type of request, but will always issue Resend Requests with a closed sequence range.
3.6
Reject
Session level rejects (MsgType (35) = 3) are used to indicate violations of the session protocol, or missing (or mangled) fields. These are to be expected during development and certification while the Participant’s systems are being adapted for Bats, but should be extremely rare in production. Application layer rejects (like Order Reject, Cancel Reject, Trade Capture Reject) are normal and should be handled separately. See FIX Application Messages - Bats to Participant (p. 32) for more details.
3.7
Sequence Reset
Sequence Reset — Gap Fill messages (GapFillFlag (123) = Y) must be received in sequence. Any messages (including Gap Fills) sent in response to a Resend Request should have PossDup (43) = Y. Sequence Reset — Reset (GapFillFlag (123) 6= Y) is used only as a last resort, and always by human intervention, to allow an otherwise hopelessly confused session to be resumed. In these cases, all chances at automatic message recovery are lost.
3.8
Logout
Either side may issue a logout to gracefully close the session. The side that issues the logout should process messages normally until it sees the logout reply, and then break the TCP connection. Bats will typically only request logout after the scheduled end of FIX session.
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4
Standard FIX Message Header and Trailer
4.1
Header
Tag 8
Name BeginString
9
BodyLength
35 34 43
MsgType MsgSeqNum PossDupFlag
49
SenderCompID
52 56
SendingTime TargetCompID
57
TargetSubID
97
PossResend
115
OnBehalfOfCompID
116
OnBehalfOfSubID
122
OrigSendingTime
128
DeliverToCompID
129
DeliverToSubID
Description FIX.4.2 or FIX.4.4 Must be the first field in the message. FIX 4.4 only available if the port is dedicated for trade reporting purposes. Length of message following BodyLength field up to and including the delimiter preceding the CheckSum (10) field. Must be the second field in the message. Must be the third field in the message. Sequential sequence number for the session. Indicates a message resent from the admin level (has a duplicate sequence number). Defaults to N. ID of sender. Assigned by Bats for messages sent to Bats. (TargetCompID (56) for messages from Bats.) GMT date and time that message was sent. Microsecond level resolution. ID of destination. BATS for messages sent to BXE ports. CHIX for messages sent to CXE ports. (SenderCompID (49) for messages from Bats.) Sub ID of destination. TEST for messages sent to the Bats test system. PROD for messages sent to the Bats production system. (SenderSubID (50) for messages from Bats.) Possible resend flag. Bats has special handling for the PossResend for New Order Single messages. See New Order — Single below. Service bureau use. Identifies end-client on messages to Bats. Must be identifier known to Bats. May be used by non-service bureau to specify which clearing arrangement to use if multiple are configured. End-client sub identifier. Four characters, alphanumeric, otherwise not validated. Recorded and returned in DeliverToSubID (129). Available via Drop. For messages with PossDupFlag (43) = Y, indicates time that message was first sent. Microsecond level resolution. Service bureau use. Identifies end-client on message from Bats. Must be Bats approved identifier. Returns OnBehalfOfSubID (116) optionally sent by client.
Note: OnBehalfOfSubID (116) and DeliverToSubID (128) are currently only applicable to order-related messages, and are unimplemented for Trade Capture Reports.
4.2 Tag 10
Trailer Name CheckSum
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Description Modulo 256 checksum of all characters in the message up to and including the delimiter preceding the CheckSum field. Three digits with leading zeroes if necessary.
15
5 5.1
FIX Application Messages — Participant to Bats New Order — Single
Tag
97
Name Standard Message Header PossResend
Description MsgType (35) = D N = indicates a new order (default) Y = indicates an application level resend and is not supported For reasons of economy, Bats does not track (in primary storage), the ClOrdID (11) values of orders that are no longer live. For reasons of performance, Bats does not access secondary storage to enforce unique ClOrdID (11) values against orders that are no longer live. Without full duplicate ClOrdID (11) value enforcement, it is not possible to safely implement the full behavior specified in the FIX 4.2 protocol for PossResend = Y.
1
11
Account
ClOrdID
To remain economical, fast, and safe, all New Order — Single messages with PossResend = Y will be simply ignored. Optional. Returned on execution reports associated with this order. 16 characters or less (ASCII 33–126). H: and C: prefix can be used to specify which CCP Account to use. If configured by Bats: House or Client CCP account can be defaulted. OrderCapacity (47) is no longer used to determine which CCP account to use. The value supplied can be passed to the CCP and made available on the Drop feed. Day-unique ID chosen by client. 20 characters or less. Characters in ASCII range 33–126 are allowed, except for comma, semicolon, and pipe. If the ClOrdID matches a live order, it will be rejected as duplicate (unless PossResend (97) = Y; see above).
15
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Currency
Note: Bats only enforces the uniqueness of ClOrdID values among currently live orders. However, we strongly recommend that you keep your ClOrdID values day unique. Required if IDSource (22) = 4 (ISIN). If Currency (15) is included when other symbology is used, it must match the currency expected by Bats for the given symbol.
16
18
ExecInst
Single value only (with no trailing space). P R M L
= Market Peg (peg buy to PBBO offer, peg sell to PBBO bid) = Primary Peg (peg buy to PBBO bid, peg sell to PBBO offer) = Midpoint (peg to PBBO midpoint) = Alternate Midpoint (less aggressive of midpoint and 1 tick inside PBBO)
for Periodic Auction Orders:11 M = Midpoint (peg to Bats EBBO midpoint) G = Guarded Midpoint (peg to Bats EBBO midpoint but suspend order if primary market quote becomes one-sided or disappears) for Smart Order Routing: u = Bats + External Dark Only v = Bats + External Dark + Lit (default for routable orders) w = Bats + External Lit Only
22
IDSource
NOTE: Values L and G differ in meaning from standard FIX 4.2. All other values are ignored. Midpoint pegged orders (M and L) are implicitly hidden (DisplayIndicator (9479) = I). Values supported by Bats: 4 = ISIN 5 = RIC
38 40
OrderQty OrdType
44 47
Price OrderCapacity
48 54
SecurityID Side
55
Symbol
11 RoutingInst
Required if Symbol (55) is not set. Number of shares for the order. System-wide limit is 99,999,999 shares. 1 = Market 2 = Limit P = Pegged During continuous trading Market (1) implies TimeInForce (59) = 3 (IOC). Pegged requires ExecInst (18) = L, M, P, or R. Pegged orders may not be routable. Limit price. A = Agency (maps to ’AOTC’) P = Principal (maps to ’DEAL’) R = Riskless (maps to ’MTCH’) ISIN, or RIC if IDSource (22) is set. 1 = Buy 2 = Sell 5 = Sell Short 6 = Sell Short Exempt H = Sell Undisclosed Security symbol. See Symbology (p. 4) for additional notes.
(9303)=BP
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59
TimeInForce
60
TransactTime
110
MinQty
111
MaxFloor
126
ExpireTime
207 211
SecurityExchange PegDifference
439
ClearingFirm
440
ClearingAccount
1724
OrderOrigination
0 1 2 3 6 7 8
= = = = = = =
Day GTC (allowed, but treated as Day) AtTheOpen IOC GTD (expires at earlier of specified ExpireTime (126) or end of day) AtTheClose Good For Auction (only valid if RoutingInst (9303) = BP)
Time order initiated/released. Required by FIX 4.2 but not used by Bats. Microsecond level resolution. Optional minimum12 fill quantity for Bats Only hidden, Bats Dark Pool, Bats Periodic Auction Book or IOC orders. Ignored for other orders. Default is zero. Portion of OrderQty (38) to display. The balance is reserve. 0 displays entire quantity (default). The displayed quantity of each order at a price level is decremented first. When displayed quantity is fully decremented, it is reloaded up to MaxFloor from reserve. May opt-in at the firm or port level to receive a restatement execution report on each reserve reload, allowing a Participant to know the new OrderID as represented on Bats’ market data feeds. Required for TimeInForce (59) = 6 (GTD) orders, specifies the date and time (in GMT) that the order expires. Required when IDSource (22) = 4 (ISIN). Optional signed value up to four decimal places13 is added to the result of peg calculation. Default is 0. Must be ≥ 0 for sell orders. Must be ≤ 0 for buy orders. Must be zero (or not specified) for midpoint peg or non-pegged orders. Firm that will clear trade. Optional. Note: shares storage with OnBehalfOfCompID (115). If both fields are set, they must be equal. Supplemental identifier. Optional. Recorded and returned in execution reports. Available via Drop. Note: shares storage with OnBehalfOfSubID (116). If both fields are set, then OnBehalfOfSubID (116) takes precedence for Service Bureau connections and ClearingAccount takes precedence for other connections. 5 = DEA. Indicate DEA activity (as defined by MiFID II) is involved in the order. 0 = Non-DEA. (default) Other values are unsupported and will be rejected.
12 Once resting all fills will exceed the minimum. On entry and user modification, the behaviour is configurable on the port and can apply to the total fill size, which may be made up of several consecutive smaller fills. 13 PegDifference is rounded (down for buy, up for sell) to fit the tick size.
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7928
PreventParticipant Match
Participant Trade Prevention: 3 characters (not space separated): 1st character - PTP Modifier: N = Cancel Newest O = Cancel Oldest B = Cancel Both D = Decrement Larger14 / Cancel Smaller d = Same as D above, but only decrement LeavesQty (151). Do not restate OrderQty (38). 2nd character - Unique ID Level: N F M P
= = = =
Do not prevent (Default value if not specified) Prevent Match at Participant Level Prevent Match at Trading Firm Level Prevent Match at Port Owner Level
3rd character - Trading Group ID (optional): Member specified alphanumeric value 0-9, A-Z, or a-z. The Unique ID level (character 2) of both orders must match to prevent a trade. If specified on both orders, Trading Group ID (character 3) must match to prevent a trade.
8015
OrderAttributeTypes
The PTP Modifier (character 1) of the inbound order will be honored, except that if the inbound order specified Decrement and the resting order does not, and the resting order is larger, then both orders will be canceled. This exception is to protect the order entry software for the resting order from receiving an unexpected restatement message. Optional. This FIX tag can contain multiple values. If more than one value is present, they must be separated by spaces. The presence of a value means, for example, the order is an algorithmic order. The absence of a value indicates otherwise. Bats supports the following values: 2 = Liquidity Provision activity order. This indicates the order is related to any sort of liquidity provision activity, as defined by MiFID II. This flag is mandatory for orders which are part of a liquidity provision activity. Absence of this value indicates otherwise. 4 = Algorithmic order. This indicates that the order was placed as a result of an investment firm engaging in algorithmic trading. Absence of this value indicates otherwise.
14 Users of PTP modifier D must be prepared to receive a FIX Restatement execution report (ExecType (150) = D) that includes both OrderQty (38) and LeavesQty (151).
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9303
RoutingInst
Bats Only orders – up-to 2 characters (not space separated): B = Bats Only (default) P = Bats Only — Post Only (will reject rather than remove visible liquidity) U = Dark Sweep (interbook) u = Dark Lit Sweep (best-price) W = Lit Sweep (interbook, best-price) X = Lit Sweep (interbook, sequential) BD = Bats Dark Book Only (hidden midpoint peg orders only) BA = Bats Automatic Dark Routed (routes to Bats Integrated Book if order is Large In Scale (LIS) or is not a midpoint order, otherwise continued...
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9303 (cont.)
RoutingInst (cont.) routes midpoint non-LIS orders to Bats Dark Book) BP = Bats Periodic Auction Book Post Only does not mix with TimeInForce (59) = 3 (IOC). If a RoutingInst is not specified a default value of B is implied (Bats Only). Order Routing – up-to 4 characters (not space separated): 1st character - Specifies the target destination: R = Smart Route to visible markets (see 3rd character) L = Bats+ DRTOnly 15 Y = Bats+ Primary Listing Exchange 16 2nd character - Used to enable/disable Re-Route On Lock/Cross: N = Do not Re-Route (default) C = Re-Route only if another market crosses the limit L = Re-Route only if another market locks or crosses the limit 3rd character - Specifies the routing strategy: N = Use default strategy (default) D = Parallel-D 2 = Parallel-2D 4th character - Specifies the resting book: I = Rest on Bats Integrated Book (default) D = Rest on Bats Dark Book Resting Book does not mix with TimeInForce (59) = 3 (IOC). In order to specify values for the 2nd , 3rd and/or 4th character the prior characters MUST be populated with a valid value. ASCII NULs (0x00) in the 2nd , 3rd or 4th character positions will imply the default value from their respective position. For example, if RoutingInst (9303) = R a value of RNNI is implied (All visible markets/No re-route/Default strategy/Rest on integrated book). Bats Plus Primary and DRTOnly directed order types do not allow re-routing or strategy selection. The 2nd and 3rd characters should always be set to their default value of N if the optional 4th character is used to rest on the dark book e.g. LNND. If the 1st character is R (Smart Routing) the ExecInst (18) can be used to provide limited control over external venue selection. 17 Re-route is not currently supported for dark resting orders (4th = D). As the default RoutingInst value is subject to change with little or no notice it is recommended you specify values for all 4 character positions if you wish to maintain maximum control of your routing decisions. For more information regarding the various routing strategies available on Bats refer to http://www.batstrading.co.uk/features/
15 RoutingInst
(9303) = PL is deprecated but still valid
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9479
DisplayIndicator
X = Displayed Order (default) I = Invisible
Invisible orders must meet the MiFID requirements for Large in Scale (LIS) unless routed to the Bats Dark Book. 9688 OrigCompID Drop only. TargetCompID (56) of original FIX execution report. Drop port must be configured to send this optional field. 9689 OrigSubID Drop only. TargetSubID (57) of original FIX execution report. Drop port must be configured to send this optional field. 453 NoPartyIDs Indicates the number of instances of the repeating group NewOrderPtyRptGrp to follow. Defaults to zero. Currently optional, but will be mandatory when MiFID II comes into force. Repeating Group NewOrderPtyRptGrp must occur the number of times specified in NoPartyIDs (453) 448 PartyID The short code representing the client or decision maker represented by this block. Unsigned numerical only. Data corresponding to this short code must have been previously supplied, or will be supplied by the end of the calendar day, per our Rules. For clients, the following values are reserved for applicable use: Applicable to PartyRole value 3: 0 = NONE (No Client for this order) 1 = AGGR (An aggregation of multiple client orders) 2 = PNAL (Clients are pending allocation) Applicable to PartyRole value 12: 3 = CLIENT (Time and venue of the order instructed by the client of the Participant) 447 452
PartyIDSource PartyRole
Must always be P (Short code identifier) Specifies the role of the party to the trade. At this time, only the following values are valid: 3 = Client ID 12 = Executing Trader (the Executing Decision Maker) 122 = Investor ID (the Investment Decision Maker)
2376
PartyRoleQualifier
Provides further qualification of the PartyRole value. Valid values are: 0 = None (applicable only for the reserved Party IDs) 22 = Algorithm (applicable to PartyRole values 12 or 122) 23 = Firm or legal entity (LEI) (applicable to PartyRole value 3) 24 = Natural person (applicable to PartyRole values 3, 12 and 122)
Standard Message Trailer 5.1.1
Notes on Pegged Orders
Midpoint pegged orders (ExecInst (18) = M or L) are implicitly hidden. Midpoint peg orders may execute between the minimum price increment of a stock, except for those stocks which are quoted at a 0.0001 increment. In that case, the peg price will be the less aggressive rounded price (rounded down for buys, rounded up for sells). 16 RoutingInst 17 see
(9303) = PP is deprecated but still valid ExecInst (18) = u, v or w
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Midpoint pegs may not use PegDifference (211). Peg orders are prioritised behind non-pegged orders at each price and display level. With regard to hidden peg orders, regular peg orders (ExecInst (18) = R or P) have a higher priority than midpoint peg orders ranked at the same price. Pegged orders will be automatically suspended from execution if Bats loses receipt of market data for any reason or if the primary exchange halts the symbol (including for non-regulatory reasons, such as a volatility interrupt).
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5.1.2
MiFID II Short Code Identifier Ranges
Bats supports six separate ranges of short codes listed below. A range is provided for each valid combination of PartyRole (452) and PartyRoleQualifier (2376). These tags are used to fully qualify the type of short code in PartyID (448). • • • • • •
Client (Person) - PartyRole (452) = 3 and PartyRoleQualifier (2376) = 24 Client (Entity) - PartyRole (452) = 3 and PartyRoleQualifier (2376) = 23 Investment Decision Maker (Person) - PartyRole (452) = 122 and PartyRoleQualifer (2376) = 24 Investment Decision Maker (Algorithm) - PartyRole (452) = 122 and PartyRoleQualifier (2376) = 22 Execution Decision Maker (Person) - PartyRole (452) = 12 and PartyRoleQualifier (2376) = 24 Execution Decision Maker (Algorithm) - PartyRole (452) = 12 and PartyRoleQualifier (2376) = 22
Each range is four bytes in length. Participants can use numbers 4 through to 4,294,967,295 as short codes. Values 0, 1, 2 and 3 are reserved for applicable use as per PartyID (448) tag definition on pg 21.
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5.2 Tag
Order Cancel Request
97
Name Standard Message Header PossResend
1
Account
11
ClOrdID
15
Currency
22
IDSource
Description MsgType (35) = F N = indicates a new cancel (default) Y = indicates an application level resend. If ClOrdID (11) has not yet been seen, the cancel is treated as normal. If ClOrdID (a)lready exists, the resent cancel is ignored. Optional. Reflected back on Pending Cancel Execution Report or Cancel Reject associated with this cancel. 16 characters or less (ASCII 33–126). Configurably available via Drop. Day-unique cancel ID chosen by client. 20 characters or less. Characters in ASCII range 33–126 are allowed, except for commma, semicolon, and pipe. Duplicate ClOrdIDs will be rejected (or ignored if PossResend (97) = Y. Required if IDSource (22) = 4 (ISIN). If Currency (15) is included when other symbology is used, it must match the currency expected by Bats for the given symbol. Values supported by Bats: 4 = ISIN 5 = RIC
37
OrderID
38 41 48 54
OrderQty OrigClOrdID SecurityID Side
55 60
Symbol TransactTime
207
SecurityExchange Standard Message Trailer
5.3
Required if Symbol (55) is not set. Order identifier supplied by Bats on the order acknowledgement. (Optional, but recommended for performance.) Number of shares for the order. Must match original order. ClOrdID of the order to cancel. ISIN, or RIC if IDSource (22) is set. 1 = Buy 2 = Sell 5 = Sell Short 6 = Sell Short Exempt H = Sell Undisclosed Security symbol. See Symbology (p. 4) for additional notes. Time cancel initiated/released. Required by FIX 4.2 but not used by Bats. Microsecond level resolution. Required when IDSource (22) = 4 (ISIN).
Order Cancel/Replace Request
Only Price (44), OrderQty (38), and OrdType (40) may be adjusted. Any change in Price or increase in OrderQty will result in the order losing its time priority. OrdType may be adjusted from Limit to Market (but not from Limit to Peg or Peg to Limit). Other fields (including ExecInst (18)) will be ignored, and the value from the original order will be reused. Changes in OrderQty result in an adjustment of the current order’s OrderQty. The new OrderQty does not directly replace the current order’s LeavesQty (151). Rather, a delta is computed from the current OrderQty and the replacement OrderQty. This delta is then applied to the current LeavesQty. If the resulting LeavesQty is c 2017 CBOE
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less than or equal to zero, the order is canceled. This results in safer behavior when the replace request overlaps partial fills for the current order, leaving the Participant in total control of the share exposure of the order. MaxFloor (111) is preserved from the original order and applied to the new size. A Cancel/Replace should not be issued until the acknowledgment for the previous Cancel/Replace has been received for that order (or the New Order acknowledgment for the first Cancel/Replace). The FIX handler will reject a new Cancel/Replace if it has not seen the prior Cancel/Replace from the Matching Engine. Cancel/Replace requests that merely reduce OrderQty may be overlapped if the existing ClOrdID is reused, as long as the trading identifier has not been opted-in to daily limit trading risk controls. This is the only case where reuse of the existing ClOrdID is allowed. Tag
97
Name Standard Message Header PossResend
1
Account
11
ClOrdID
Description MsgType (35) = G N = indicates a new cancel/replace (default) Y = indicates an application level resend. If the ClOrdID does not indicate an already pending cancel/replace, the cancel/replace is treated as normal. If ClOrdID does indicate an already pending cancel/replace, then the resent cancel/replace is ignored. Optional. Returned on execution reports associated with this order. 16 characters or less (ASCII 33–126). H: and C: prefix can be used to specify which CCP Account to use. If configured by Bats: House or Client CCP account can be defaulted. OrderCapacity (47) is no longer used to determine which CCP account to use. The value supplied can be passed to the CCP and made available on the Drop feed. Day-unique ID chosen by client. 20 characters or less. Characters in ASCII range 33–126 are allowed, except for comma, semicolon, and pipe. If the ClOrdID matches a live order, it will be rejected as duplicate (unless PossResend (97) = Y; see above).
15
Currency
22
IDSource
Note: Bats only enforces the uniqueness of ClOrdID values among currently live orders. However, we strongly recommend that you keep your ClOrdID values day unique. Required if IDSource (22) = 4 (ISIN). If Currency (15) is included when other symbology is used, it must match the currency expected by Bats for the given symbol. Values supported by Bats: 4 = ISIN 5 = RIC
37
OrderID
38
OrderQty
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Required if Symbol (55) is not set. Order identifier supplied by Bats on the order acknowledgement. In the case of multiple changes to a single order, this should be the OrderID from the most recent acknowledgement. Number of shares for the order. This will modify the OrderQty of the current order, it does not directly set the remaining quantity.
26
40
OrdType
41
OrigClOrdID
44 48 54
Price SecurityID Side
55 60
Symbol TransactTime
207 9619
SecurityExchange CancelOrigOnReject
1 = Market 2 = Limit P = Pegged During continuous trading Market (1) implies TimeInForce (59) = 3 (IOC). Pegged requires ExecInst (18) = L, M, P, or R. Pegged orders may not be routable. ClOrdID of the order to replace. In the case of multiple changes to a single order, this will be the ClOrdID of the most recently accepted change. Limit price. ISIN, or RIC if IDSource (22) is set. 1 = Buy 2 = Sell 5 = Sell Short 6 = Sell Short Exempt H = Sell Undisclosed Security symbol. See Symbology (p. 4) for additional notes. Time cancel/replace initiated/released. Required by FIX 4.2 but not used by Bats. Microsecond level resolution. Required when IDSource (22) = 4 (ISIN). N = Leave original order alone (default) Y = Cancel original order if replacement fails Default may be configured per port.
Standard Message Trailer
5.4
Trade Capture Report
The Trade Capture Report is used to submit a Negotiated Trade. The report must contain both sides of the trade (NoSides (552) = 2). The models supported are as described in the FIX 5.0 (SP2) specification in the Two-Party Reporting, One-Party Report for Matching and Confirmed Trade Reporting workflow diagrams of the Trade Capture Reporting section. Whilst we make use of FIX 4.4 and FIX 5.0 messages/tags, these are handled as extensions and operate over a FIX 4.2 session. If a port is dedicated to the use of trade reporting, there is an option to utilise a FIX 4.4 session. When a new trade report is accepted, a TradeID is returned in the corresponding Trade Capture Report confirmation messages. Where applicable, such trade reports may be cancelled, amended or released by specifying the TradeID.
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Tag
15
Name Standard Message Header Currency
22
IDSource
Description MsgType (35) = AE Required if IDSource (22) = 4 (ISIN). If Currency (15) is included when other symbology is used, it must match the currency expected by Bats for the given symbol. Values supported by Bats: 4 = ISIN 5 = RIC
31 32 48 55 60 63
LastPx LastShares SecurityID Symbol TransactTime SettlType
Required if Symbol (55) is not set. Price of this fill (zero for non-fills). May be excluded if using GrossTradeAmt. Quantity of shares traded on this fill (zero for non-fills). ISIN, or RIC if IDSource (22) is set. Security symbol. See Symbology (p. 4) for additional notes. Optional, when TradeReportTransType (487) = 0. Microsecond level resolution. Optional. Indicates settlement period. If present, SettlDate (64) overrides this field. If SettlType (63) = 6, then SettlDate (64) is required. If both SettlType (63) and SettlDate (64) are omitted, the default value is 0 (Regular). Supported values: 0 = Regular (default) 6 = Future This field may not be amended.
64
SettlDate
75
TradeDate
150 207 381
ExecType SecurityExchange GrossTradeAmt
487
TradeReportTransType
Optional. Specifies the date on which the trade is desired to settle. If present, this field overrides SettlType (63). This field is required if the value of SettlType (63) = 6 (Future). May only be specified on new trade reports. This field may not be amended using our standard interface, but the actual settlement date may be varied by the central counterparties (CCPs) due to operational requirements (eg. for symbols in a conditional trading status). Optional. Specifies the date on which the trade was arranged. If present, must match the date component of TransactTime (60). Must be F = Trade Required when IDSource (22) = 4 (ISIN). Total amount traded, expressed in units of currency. Only considered when LastPx is not specified. Specifies whether this trade report is new, a cancellation, an amendment or a release. Unilateral trades reported under the service may be cancelled or amended by the participant. Trades that are currently being delayed from publication can be released for immediate publication. Defaults to ‘new’ if unspecified. 0 1 2 3
571
TradeReportID
= = = =
New Cancel Replace Release
Day-unique ID chosen by client. 20 characters or less. Characters in ASCII range 33–126 are allowed, except for comma, semicolon, and pipe. If the TradeReportID matches a live trade report (one that has been acked, but not confirmed or declined), it will be rejected as duplicate.
572
TradeReportRefID
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Note: Bats only enforces the uniqueness of TradeReportID values among currently live trade reports. However, we strongly recommend that you keep your TradeReportID values day unique. Contains the TradeReportRefID (572) of the trade capture report ack that should now be withdrawn
28
574
MatchType
730
SettlPrice
820
TradeLinkID
828
TrdType
Where VenueType (1430) = O (off book), this field models the MMT Level 2 ‘Trading Mode’ field, and must be 3 = Trade Reporting (On-Exchange). Optional. Price at which the trade should settle. If specified, any risk controls will be applied against this price. This field may not be amended. Third Party Trade Identifier used for optional matching with counterparty. 30 characters or less. Characters in ASCII range 33–126 are allowed, except for comma, semicolon, and pipe. This field corresponds to the MMT Level 3.1 field ’Transaction Category’. 0 = Regular Trade
829
TrdSubType
855
SecondaryTrdType
856
TradeReportType
This optional field corresponds to the MMT Level 3.3 field ‘Crossing Trade Indicator’. Agency Cross trades may be indicated by setting TrdSubType (829) = 37. Other values are invalid. This optional field corresponds to the MMT Level 3.5 field ‘Benchmark Indicator’. Benchmark trades may be indicated by setting SecondaryTrdType (855) = 64. Other values are invalid. This field controls pending state of the trade report. 0 = (Submit) for all new trade reports 6 = (Trade Report Cancel) to cancel any acknowledged, but not confirmed trade reports entered where TradeHandlingInst (1123) = 2
1003
TradeID
1115
OrderCategory
Used to specify a previously reported trade to be amended or cancelled. Mandatory when TradeReportTransType (487) = 1, 2 or 3, must be absent when TradeReportTransType (487) = 0. This field corresponds to the MMT Level 3.2 field ’Negotiated Transaction Indicator’, and is used by the participant to indicate that the trade was a Negotiated Transaction as per the Bats Rules. For all trade reports reported on-exchange, the value must be 3. 3 = Privately Negotiated Trade
1116 NoRootPartyIDs When TradeHandlingInst (1123) = 0, must always be 1 Repeating Group RootParties must occur the number of times specified in NoRootPartyIDs (1116) 1117 RootPartyID When TradeHandlingInst (1123) = 0, the third party responsible for submitting the pre-matched trade. Must be an identifier (4 uppercase letters) known to Bats. 1118 RootPartyIDSource Applicable when TradeHandlingInst (1123) = 0. Acceptable values: D = Proprietary / Custom Code 1119
RootPartyRole
Applicable when TradeHandlingInst (1123) = 0. Specifies the role of the third party to the trade. Acceptable values: 6 = IntroducingFirm
1123
TradeHandlingInstr
Used to specify the trade reporting model used. 0 (Confirmed Trade) 1 (Two-Party Report) 2 (One Party Report for Matching)
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1390
TradePublishIndicator
This field corresponds to the MMT Level 4.1 field ’Publication Mode’, and is used by the participant to request that the publication be delayed. In order for RTS 1 based instruments to be considered for a deferral, OrderCapacity (528) = P (maps to ’DEAL’) must be set. For RTS 1 and RTS 2 instruments, delayed publication/deferrals are ignored if the trade does not qualify for delayed publication. This field may not be amended, however trades currently being delayed may be released prior to their maximum delay duration using TradeReportTransType (487) = 3. Supported values: 0 = Do Not Publish 1 = Publish trade (immediately) 2 = Deferred Publication
1430
VenueType
When using TradeHandlingInstr (1123) = 2, the only acceptable value is TradePublishIndicator (1390) = 0. Must be O = Off Book. This field models the MMT Level 1 field ‘Market Mechanism’.
1838 NoTradePriceConditions Optional. If present, indicates the number of TradePriceCondition (1839) fields. Repeating Group TradePriceConditionGrp must occur the number of times specified in NoTradePriceConditions (1838) 1839 TradePriceCondition Optional. Used to indicate values in MMT v3 levels 3.2, 3.6 and 3.8 For MMT Level 3.2 ‘Negotiation Indicator’, supported values are: 16 = Negotiated Trade Subject to Conditions Other than The current Market Price (PRIC) For MMT Level 3.6 ‘Special Divided Indicator’, supported values are: 0 = Cum Dividend (deprecated) 2 = Ex Dividend (deprecated) 13 = Special Dividend (SDIV) For MMT Level 3.8 ‘Contribution to Price Formation or the Price Discovery Process’, supported values are: 15 = Non-Price Forming Trade (NPFT)
2405
ExecMethod
Optional. Used to indicate that the method by which the trade was executed. This field corresponds to the proposed MMT Level 3.7 ‘Offbook Automated Liquidity Indicator’. The following values are supported: 0 = Unspecified (default) 1 = Manual 2 = Automated
2667
AlgorithmicTrade Indicator
Indicates that the submitted trade was a result of an investment firm engaging in algorithmic trading. Optional. 0 = No algorithm was involved (the default). 1 = The trade was an algorithmic trade (ALGO).
9128
Tolerance
552
NoSides
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Maximum allowed delta (in terms of consideration, expressed in the traded currency), that the trade is prepared to match against counterparty. Must always be 2
30
Repeating Group TrdCapRptSideGrp must occur the number of times specified in NoSides (552) 54 Side Must be first field in repeating-group 1 2 5 6 H 1
Account
528
OrderCapacity
= = = = =
Buy Sell Sell Short Sell Short Exempt Sell Undisclosed
Optional. Reflected back on Trade Capture Report confirmed and declined messages. H: and C: prefix can be used to specify which CCP Account to use. 16 characters or less (ASCII 33–126). Optional. A = Agency (maps to ’AOTC’) P = Principal (maps to ’DEAL’) R = Riskless (maps to ’MTCH’)
625
TradingSessionSubID
This field must not be supplied on trade reports to Bats. This field models the MMT Level 2 ‘Trading Mode’ field for scenarios where VenueType (1430) is not ‘O’ (off book), which is not permitted. 453 NoPartyIDs Must always be 1. Repeating Group Parties must occur the number of times specified in NoPartyIDs (453) 448 PartyID The end-client responsible for the trade. Must be an identifier (4 uppercase letters) known to Bats. 447 PartyIDSource Must always be D (Proprietary / Custom Code) 452 PartyRole Specifies the role of the party to the trade. At this time, only the following values are valid: 1 = ExecutingFirm (if used, must be set on both sides. Is not permitted for bilateral trades, except for Trade Confirmations) 3 = Client ID (Drop only) 6 = IntroducingFirm (Drop only) 7 = EnteringFirm (the party reporting the trade. Should not be used in the second leg, except when TradeHandlingInst (1123) = 0) 14 = GiveupClearingFirm (Drop only) 17 = ContraFirm (the party the trade is alleged against)
Standard Message Trailer
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6
FIX Application Messages — Bats to Participant
6.1 Tag
Execution Report
1
Name Standard Message Header Account
6 11
AvgPx ClOrdID
14 15 17
CumQty Currency ExecID
18 20 22 29
ExecInst ExecTransType IDSource LastCapacity
30 31 32 37 38 39
LastMkt LastPx LastShares OrderID OrderQty OrdStatus
41
OrigClOrdID
44 48 54 55
Price SecurityID Side Symbol
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Description MsgType (35) = 8 Copied from order, if present. (Available on Drop via optional port configuration) Average fill price. ClOrdID of the order being accepted, executed, or rejected. –or– ClOrdID of the cancel or replace request. –or– ClOrdID of the order subject to unsolicited cancel (OrigClOrdID (41) will not be present). Cumulative quantity of shares executed for this order. Copied from order, if present. Day-unique ID of execution message as per MiFID II definition of a Transaction Identification Code. Copied from order, if present. 0 = New Copied from order, if present. Broker capacity in order execution. 1 = Agent (maps to ’AOTC’) 3 = Cross as Principal (maps to ’MTCH’) 4 = Principal (maps to ’DEAL’) Populated with the segment MIC of this fill. Price of this fill (zero for non-fills). Quantity of shares traded on this fill (zero for non-fills). Order identifier supplied by Bats. Copied from order. State of order. 0 = New 1 = Partially Filled 2 = Filled 4 = Canceled 5 = Replaced 6 = Pending Cancel 8 = Rejected A = Pending Ack E = Pending Replace ClOrdID of the order being canceled or replaced (for a solicited cancel or cancel/replace, otherwise not present). Copied from order. Copied from order, if present. Copied from order or trade report. Copied from order, if present.
32
58
Text
If present, indicates reason for the message. Format is one letter reason code followed by colon and space followed by free form text message. Reason codes are: A = Admin D = Duplicate ClOrdID H = Halted K = Order Rate Threshold Exceeded L = Price Exceeds Cross Range N = Ran Out of Liquidity to Execute Against O = ClOrdID Doesn’t Match a Known Order P = Can’t Modify an Order That is Pending Fill Q = Waiting For First Trade R = Routing Unavailable T = Routing order would trade through an away destination U = User Requested V = Would Wash W = Add Liquidity Only Order Would Remove X = Order Expired Y = Symbol Not Supported Z = Unforseen Reason l = Large in Scale r = Reserve Reload m = Market Access Risk Limit Exceeded o = Max Open Orders Count Exceeded p = Static Collar Breach s = Symbol Level Risk Management v = MiFID II Double Cap related
59 60 63
TimeInForce TransactTime SettlType
64
SettlDate
103
OrdRejReason
111 126
MaxFloor ExpireTime
Copied from order. Time transaction occurred. Microsecond level resolution. Drop only. Only relevant if ExecType (150) = F and the original trade report utilised a non-standard settlement date. In this case, the relevant date will also be included in SettlDate (64). Drop only. Only relevant if ExecType (150) = F and the original trade report utilised SettlType (63) 6= 0, in which case, the relevant date will be included in SettlDate (64); or, if the original trade report specified a SettlDate (64). Optionally set when ExecType (150) = 8 (Rejected). 0 = Broker Option 1 = Unknown Symbol 2 = Exchange Closed 3 = Order Exceeds Limit 5 = Unknown Order 6 = Duplicate Order 8 = Stale Order Copied from order. Copied from order if TimeInForce (59) = 6 (GTD).
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150
ExecType
Reason for this execution report. 0 = New (acknowledgement of new order) 1 = Partial Fill 2 = Fill 4 = Canceled 5 = Replaced 8 = Rejected D = Restated For Drop only, if optionally configured, the following value is also supported: F = Trade
151
LeavesQty
198
SecondaryOrderID
207 375
SecurityExchange ContraBroker
378
ExecRestatement Reason
382 439 440
NoContraBrokers ClearingFirm ClearingAccount
Quantity of shares still open for further execution. Will be zero if order is dead, otherwise will be OrderQty − CumQty. Note: It is possible for LeavesQty to be zero when ExecType (150) = 5 indicating that the order is dead. Must request opt-in at firm or port level to receive this field. Present on Prevent Participant Match triggered cancel/restatement. Denotes the Bats OrderID (37) of contra side of prevented match. Present on a restatement execution report for reload of a reserve (iceberg) order. Denotes the new Bats OrderID which will be present on Bats’ market data feeds. Copied from order, if present. Only present on trades. Indicates the market of execution. A value of LP identifies an execution from an external liquidity provider, all other markets are identified by their ISO Market Identification Code (MIC)1819 Required when ExecType (150) = D (Restated). 4 = Broker option; optionally sent during reload of a reserve (iceberg) order 5 = Partial decline of OrderQty Only present on trades. Always 1. Copied from order, if present. Copied from order, if present.
18 ISO 19 for
10383, see http://www.iso15022.org/MIC/homepageMIC.htm for details historical reasons a local execution for an order entered into the BXE book is identified with a value of BATS
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Repeating Group NewOrderPtyRptGrp must occur the number of times specified in NoPartyIDs (453) 448 PartyID The short code representing the client or decision maker represented by this block. Unsigned numerical only. Data corresponding to this short code must have been previously supplied, or will be supplied by the end of the calendar day, per our Rules. For clients, the following values are reserved for applicable use: Applicable to PartyRole value 3: 0 = NONE (No Client for this order) 1 = AGGR (An aggregation of multiple client orders) 2 = PNAL (Clients are pending allocation) Applicable to PartyRole value 12: 3 = CLIENT (Time and venue of the order instructed by the client of the Participant) 447 452
PartyIDSource PartyRole
Must always be P (Short code identifier) Specifies the role of the party to the trade. At this time, only the following values are valid: 3 = Client ID 12 = Executing Trader (the Executing Decision Maker) 122 = Investor ID (the Investment Decision Maker)
2376
PartyRoleQualifier
Provides further qualification of the PartyRole value. Valid values are: 0 = None (applicable only for the reserved Party IDs) 22 = Algorithm (applicable to PartyRole values 12 or 122) 23 = Firm or legal entity (LEI) (applicable to PartyRole value 3) 24 = Natural person (applicable to PartyRole values 3, 12 and 122)
730
SettlPrice
1724
OrderOrigination
7772
CentralCounterparty
Drop only. Only relevant if ExecType (150) = F and the original trade report utilised SettlPrice (730). This represents the price at which the trade will settle. 5 = DEA. Indicate DEA activity (as defined by MiFID II) is involved in the order. 0 = Non-DEA. (default) Other values are unsupported and will be rejected. Only present on trades. The CCP handling the trade: EMCF = European Multilateral Clearing Facility LCHL = LCH.Clearnet XCLR = SIX x-clear NONE = Clearing Suppressed Returned on trades if the participant has selected a Preferred CCP. The FIX port can be configured to always return this optional field.
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8013
TrdRegPublication Reasons
If present, indicates the pre-trade waiver derived by Bats for this trade. Valid values are: 0 = Negotiated Trade in Liquid Instrument (NLIQ) 1 = Negotiated Trade in Illiquid Instrument (OILQ) 2 = Negotiated Trade Subject to Conditions Other Than the Current Market Price (PRIC) 3 = Reference Price (Dark Book) (RFPT) 9 = Large In Scale (Pre-Trade Transparency Waiver) 10 = Order Management Facility (Iceberg) (Pre-Trade Transparency Waiver)
8015
OrderAttributeTypes
Optional. This FIX tag can contain multiple values. If more than one value is present, they must be separated by spaces. The presence of a value means, for example, the order is an algorithmic order. The absence of a value indicates otherwise. Bats supports the following values: 2 = Liquidity Provision activity order. This indicates the order is related to any sort of liquidity provision activity, as defined by MiFID II. This flag is mandatory for orders which are part of a liquidity provision activity. Absence of this value indicates otherwise. 4 = Algorithmic order. This indicates that the order was placed as a result of an investment firm engaging in algorithmic trading. Absence of this value indicates otherwise.
9621
MTFAccessFee
9730
TradeLiquidity Indicator
9882
FeeCode
Only present on trades. Indication of access fee for this fill (up to five decimal places, negative for rebates). This tag is being deprecated and removed as part of the Q4 2017 release. Only present on trades. A = Added Liquidity R = Removed Liquidity AD = Added Liquidity for the Bats Dark Pool RD = Removed Liquidity from the Bats Dark Pool RT = Removed Liquidity from the Bats Dark Pool by IOC order AI = Added Hidden Liquidity that was price improved AK = Added Liquidity from the hidden (reserve) portion of an iceberg order X = Routed to Another Market C = Auction P = Periodic Auction To allow for future expansion of this field, please ignore values with an unknown character in the 2nd position. Specific fee code associated with the trade. See the Fee Schedule for the respective market for possible values.
Standard Message Trailer
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6.2
Cancel Reject
Rejects a Cancel or Cancel/Replace request. When a Cancel/Replace is rejected, by default, the original order is left alive. A Cancel Reject should not be used as a sign that the original order has been canceled. Even if the CancelOrigOnReject (9619) = Y option is being used, a separate “unsolicited” cancel will be sent to close out the original order. Tag
1 11 37
Name Standard Message Header Account ClOrdID OrderID
39 41 58 102
OrdStatus OrigClOrdID Text CxlRejReason
434
CxlRejResponseTo
Description MsgType (35) = 9 Copied from Cancel or Cancel/Replace request. ClOrdID from the Cancel or Cancel/Replace request. OrderID of the order that failed to be canceled or replaced. NONE if CxlRejReason (102) = 1 (Unknown Order). State of order that failed to be canceled or replaced. ClOrdID of the order that failed to be canceled or replaced. Free-form text message. 0 = Too Late to Cancel 1 = Unknown Order 3 = Already Pending Cancel or Pending Replace 1 = Cancel 2 = Cancel/Replace
Standard Message Trailer
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6.3
Trade Cancel/Correct
Trade Cancel/Correct (UCC) is an optional message that must be enabled at the port level. It may be enabled for current-day only or for all cancels and corrections. Only the price and size of a trade may be corrected, all other details remain the same. Trade cancels and corrections do not alter live order state. Tag
Description MsgType (35) = UCC
11 15 17 19 20
Name Standard Message Header ClOrdID Currency ExecID ExecRefID ExecTransType
22 30
IDSource LastMkt
31 32 37 42 48
LastPx LastShares OrderID OrigTime SecurityID
54 55 60 63
Side Symbol TransactTime SettlType
64
SettlDate
207
SecurityExchange
439 440 730
ClearingFirm ClearingAccount SettlPrice
6655
CorrectedSize
9620
CorrectedPrice
9730
TradeLiquidity Indicator Standard Message Trailer
Copied from order being canceled or corrected, if present. LastMkt on the original trade being canceled or corrected, if the port is configured to send this tag. Price on the original trade being canceled or corrected. Quantity of shares on the original trade being canceled or corrected. OrderID of the order whose trade is being canceled or corrected. Date and time of the original trade, in GMT. Microsecond level resolution. Copied from original order being canceled or corrected if IDSource (22) = 4 (ISIN), or 5 (RIC) was used. Copied from trade being canceled or corrected. Copied from original order being canceled or corrected. Date and time of the cancel or correction. Microsecond level resolution. Drop only. SettlType on the original trade being canceled or corrected, if relevant. Drop only. SettlDate on the original trade being canceled or corrected, if relevant. Copied from order being canceled or corrected if IDSource (22) = 4 (ISIN) was used. Copied from trade being canceled or corrected, if present. Copied from trade being canceled or corrected, if present. Drop only. SettlPrice on the original trade being canceled or corrected, if relevant. The corrected size of the trade. Only set if ExecTransType (20) = 2 (Trade Correct). The corrected price of the trade. Only set if ExecTransType (20) = 2 (Trade Correct). Copied from trade being canceled or corrected.
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ClOrdID of the order whose trade is being canceled or corrected. Copied from order if IDSource (22) = 4 (ISIN). Day-unique ID of execution message. Refers to the ExecID (17) of the execution being canceled or corrected. 1 = Cancel 2 = Correct
38
6.4
Trade Capture Report Ack
The Trade Capture Report Ack is sent by Bats to acknowledge the receipt of a Trade Capture Report. It is a technical-level ack, the Trade/Cancel/Amend is not considered to have fully succeeded until a Trade Capture Report is sent with with TradeReportType (856) of 2 (Accept). Tag
15 22 31
Name Standard Message Header Currency IDSource LastPx
32 48 55 58
LastShares SecurityID Symbol Text
60 63
TransactTime SettlType
64 75 150 207 381 487 571 572 574 730 820 828 829 855 856 939 1003 1115 1116
Description MsgType (35) = AR Copied from the incoming TradeCaptureReport, if present. Copied from the incoming TradeCaptureReport, if present. Copied from the incoming TradeCaptureReport, if present. If GrossTradeAmt was used instead of LastPx, the value here will be indicative. Price is adjusted for allowed precision. Copied from the incoming TradeCaptureReport. Copied from the incoming TradeCaptureReport, if present. Copied from the incoming TradeCaptureReport, if present. If present, indicates reason for the message. Format is one letter reason code followed by colon and space followed by free form text message. Reason codes are: A = Admin D = Duplicate TradeReportID H = Halted U = User Requested Y = Symbol Not Supported X = Expired Z = Unforseen Reason m = Market Access Risk Limit Exceeded o = Max Open Trade Count Exceeded v = MiFID II Double Cap related
Copied from the TradeCaptureReport if present, or defaulted by Bats. Omitted if relevant value is 0 (Regular). Otherwise, will be 6 (Future) with the relevant date included in SettlDate (64). SettlDate Copied from incoming TradeCaptureReport, if present. TradeDate Copied from the TradeCaptureReport if present, or defaulted by Bats. ExecType Copied from the incoming TradeCaptureReport. SecurityExchange Copied from the incoming TradeCaptureReport, if present. GrossTradeAmt Copied from the incoming TradeCaptureReport, if present and valid. TradeReportTransType Copied from the incoming TradeCaptureReport. TradeReportID Copied from the incoming TradeCaptureReport. TradeReportRefID Unique identifier for the trade report as provided by Bats MatchType Copied from the incoming TradeCaptureReport. SettlPrice Copied from the incoming TradeCaptureReport, if present. TradeLinkID Copied from the incoming TradeCaptureReport, if present. TrdType Copied from the incoming TradeCaptureReport. TrdSubType Copied from the incoming TradeCaptureReport, if present. SecondaryTrdType Copied from the incoming TradeCaptureReport, if present. TradeReportType Copied from the incoming TradeCaptureReport. TrdRptStatus Will be 0 (Accepted) or 1 (Rejected) TradeID Copied from the incoming TradeCaptureReport, if present. OrderCategory Copied from the incoming TradeCaptureReport, if present. NoRootPartyIDs Copied from the incoming TradeCaptureReport, if present.
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Repeating Group RootParties must occur the number of times specified in NoRootPartyIDs (1116) 1117 RootPartyID Applicable when TradeHandlingInst (1123) = 0, the third party responsible for submitting the pre-matched trade. Will be ‘LISX’ for the LISX service. 1118 RootPartyIDSource Applicable when TradeHandlingInst (1123) = 0. Possible values: D = Proprietary / Custom Code G = MIC (Drop only) 1119
RootPartyRole
Applicable when TradeHandlingInst (1123) = 0. Specifies the role of the third party to the trade. Possible values: 6 = IntroducingFirm 64 = MultilateralTradingFacility (Drop only)
1123 TradeHandlingInstr Copied from the incoming TradeCaptureReport. 1390 TradePublishIndicator Copied from the incoming TradeCaptureReport. 1430 VenueType Copied from the incoming TradeCaptureReport. 1838 NoTradePriceConditions Copied from the incoming TradeCaptureReport. Repeating Group TradePriceConditionGrp must occur the number of times specified in NoTradePriceConditions (1838) ... ... Entire block copied from incoming TradeCaptureReport, although order may be adjusted 2405 2667 9128 552
ExecMethod Copied from the incoming TradeCaptureReport, if present. AlgorithmicTradeIndicatorCopied from the incoming TradeCaptureReport, if present. Tolerance Copied from the incoming TradeCaptureReport, if present. NoSides Copied from the incoming TradeCaptureReport. Drop only. When TradeHandlingInst (1123) = 0 and the configured third party requires counterparty anonymisation, will be limited to the number of sides your Drop profile permits you access.
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Repeating Group TrdCapRptSideGrp must occur the number of times specified in NoSides (552) ... ... Entire block copied from incoming TradeCaptureReport, although order may be adjusted 775 BookingType Drop only. Possible values: 0 = Regular (default) 1 = CFD (Contract for Difference) 453
NoPartyIDs
The number of parties involved in the trade. Conventionally, will be copied from the incoming TradeCaptureReport with a value of 1. On Drop only, may be 2, 3 or 4. Repeating Group Parties must occur the number of times specified in NoPartyIDs (453) ... ... Generally, entire block copied from incoming TradeCaptureReport. Potential exceptions detailed below 448 PartyID The end-client responsible for the trade. Will be an identifier (4 or 5 (Drop only)) uppercase letters, except when PartyRole (452) = 14, where it may be up to 16 characters (Drop only). 452 PartyRole Specifies the role of the party to the trade. At this time, only the following values are valid: 1 = ExecutingFirm 3 = Client ID (Drop only) 6 = IntroducingFirm (Drop only) 7 = EnteringFirm 14 = GiveupClearingFirm (Drop only) 17 = ContraFirm 802
NoPartySubIDs
Drop only. Only relevant when PartyRole (452) = 3. The number of sub-parties involved. If set, must always be 1 Repeating Group PtysSubGrp must occur the number of times specified in NoPartySubIDs (802) 523 PartySubID Drop only. Additional information about the end-client responsible for the trade. Only valid when PartyRole (452) = 3. 803 PartySubIDType Drop only. Only valid when PartyRole (452) = 3. Acceptable values: 4001 = BatsClientIdForIntroducingBroker
9688
OrigCompID
9689
OrigSubID
Drop only. TargetCompID (56) of original FIX TradeCaptureReport from Bats to the Participant. Drop port must be configured to send this optional field. Drop only. TargetSubID (57) of original FIX TradeCaptureReport from Bats to the Participant. Drop port must be configured to send this optional field.
Standard Message Trailer
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6.5
Trade Capture Report
The Trade Capture Report is sent from Bats to the participant in order to confirm that a Trade Capture Report has been fully processed. It is a business-level confirmation as distinct from the technology level acknowledgement sent as a Trade Capture Report Ack. The majority of the fields in this message are copied from the incoming TradeCaptureReport. When using the One-Party Report for Matching model, it is important to note that the majority of these fields will be sourced from the party reporting the sell leg. Also on this model, the Account1 field for the contra leg will not be populated. Tag
Description MsgType (35) = AE
15 22 30 31 32 48 55 58
Name Standard Message Header Currency IDSource LastMkt LastPx LastShares SecurityID Symbol Text
60 63
TransactTime SettlType
64 75 150 207 375
SettlDate TradeDate ExecType SecurityExchange ContraBroker
Copied from the TradeCaptureReport if present, or defaulted by Bats. Omitted if relevant value is 0 (Regular). Otherwise, will be 6 (Future) with the relevant date included in SettlDate (64). Copied from incoming TradeCaptureReport, if present. Copied from the TradeCaptureReport if present, or defaulted by Bats. Copied from the incoming TradeCaptureReport. Copied from the incoming TradeCaptureReport, if present. BATS: Trade Reported on BXE book CHIX: Trade Reported on CXE book
487 571 572
TradeReportTransType Copied from the incoming TradeCaptureReport. TradeReportID Unique identifier for the trade report confirm as provided by Bats TradeReportRefID Contains the TradeReportID (571) of the original trade capture report to which this message relates MatchStatus Will be 0 (Matched) for confirm, and 1 (Unmatched) for a decline MatchType Copied from the incoming TradeCaptureReport. SettlPrice Copied from the incoming TradeCaptureReport, if present. TradeLinkID Copied from the incoming TradeCaptureReport, if present. TrdType Copied from the incoming TradeCaptureReport. TrdSubType Copied from the incoming TradeCaptureReport, if present.
573 574 730 820 828 829
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Copied from the incoming TradeCaptureReport, if present. Copied from the incoming TradeCaptureReport, if present. Populated with the segment MIC of this fill. Traded Price. Copied from the incoming TradeCaptureReport. Copied from the incoming TradeCaptureReport, if present. Copied from the incoming TradeCaptureReport, if present. If present, indicates reason for the message. Format is one letter reason code followed by colon and space followed by free form text message. Reason codes are: A = Admin D = Duplicate TradeReportID H = Halted U = User Requested Y = Symbol Not Supported X = Expired Z = Unforseen Reason m = Market Access Risk Limit Exceeded o = Max Open Trade Count Exceeded v = MiFID II Double Cap related
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855 856
SecondaryTrdType TradeReportType
Copied from the incoming TradeCaptureReport, if present. Will be 2 (Accept) for a confirm, 3 (Decline) for a decline and 0 (Submit) for an unsolicited change. 1003 TradeID ID representing the trade, as seen on outbound market data. Allocated by Bats. Required to amend, cancel or release a report. 1115 OrderCategory Copied from the incoming TradeCaptureReport, if present. 1116 NoRootPartyIDs Copied from the incoming TradeCaptureReport, if present. Repeating Group RootParties must occur the number of times specified in NoRootPartyIDs (1116) ... ... Entire block copied from incoming TradeCaptureReport, although order may be adjusted 1123 1390
TradeHandlingInst TradePublishIndicator
Copied from the incoming TradeCaptureReport. Will be 2 (Deferred Publication) if deferment is requested and the trade is eligible for such. Otherwise, copied from the incoming TradeCaptureReport. 1430 VenueType Copied from the incoming TradeCaptureReport. 1838 NoTradePriceConditions Indicates the number of TradePriceCondition (1839) fields, if present. Repeating Group TradePriceConditionGrp must occur the number of times specified in NoTradePriceConditions (1838) 1839 TradePriceCondition Mostly copied from the incoming TradeCaptureReport, with exceptions. (see below) Indicate values in MMT v3 levels 3.6 and 3.8 For MMT Level 3.6 ‘Special Divided Indicator’, supported values are: 0 = Cum Dividend (deprecated) 2 = Ex Dividend (deprecated) 13 = Special Dividend (SDIV) For MMT Level 3.8 ‘Contribution to Price Formation or the Price Discovery Process’, supported values are: 15 = Non-Price Forming Trade (NPFT) If the value 16 is used in the incoming TradeCaptureReport, then it will not be in this confirm message. Instead, TrdRegPublicationReasons (8013) = 2 will be set if appropriate. 2405 2667 8013
ExecMethod Copied from the incoming TradeCaptureReport, if present. AlgorithmicTradeIndicatorCopied from the incoming TradeCaptureReport, if present. TrdRegPublication If present, indicates the pre-trade waiver or deferral derived by Bats for this Reasons trade. Valid values are: 0 = Negotiated Trade in Liquid Instrument (NLIQ) 1 = Negotiated Trade in Illiquid Instrument (OILQ) 2 = Negotiated Trade Subject to Conditions Other Than the Current Market Price (PRIC) 6 = Deferral for Large in Scale (LRGS) 9 = Large In Scale (Pre-Trade Transparency Waiver) Multiple values in this field will be separated by spaces.
7570
RptTime
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Indicates the time at which a deferred trade report will be automatically published. Where RptTime falls outside of the systems operating time, the report will be published during operating hours on the next trading day. When no deferral is requested, or when the trade does not qualify for a deferral, any time returned will match TransactTime (60). Microsecond level precision.
43
9688
OrigCompID
9689
OrigSubID
552
NoSides
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Drop only. TargetCompID (56) of original FIX TradeCaptureReport from Bats to the Participant. Drop port must be configured to send this optional field. Drop only. TargetSubID (57) of original FIX TradeCaptureReport from Bats to the Participant. Drop port must be configured to send this optional field. Copied from the incoming TradeCaptureReport. Drop only. When TradeHandlingInst (1123) = 0 and the configured third party requires counterparty anonymisation, will be limited to the number of sides your Drop profile permits you access.
44
Repeating Group TrdCapRptSideGrp must occur the number of times specified in NoSides (552) ... ... Entire block copied from incoming TradeCaptureReport, although order may be adjusted 1427 SideExecID Available on an opt-in basis. Side unique version of the day-unique TradeID (1003). 7772 CentralCounterparty The CCP handling this trade leg for a confirm, and not present for a decline: EMCF = European Multilateral Clearing Facility LCHL = LCH.Clearnet XCLR = SIX x-clear NONE = Clearing Suppressed 9882
FeeCode
775
BookingType
Specific fee code associated with the trade. See the Fee Schedule for the respective market for possible values. Drop only. Possible values: 0 = Regular (default) 1 = CFD (Contract for Difference)
453
NoPartyIDs
The number of parties involved in the trade. Conventionally, will be copied from the incoming TradeCaptureReport with a value of 1. On Drop only, may be 2, 3 or 4. Repeating Group Parties must occur the number of times specified in NoPartyIDs (453) ... ... Generally, entire block copied from incoming TradeCaptureReport. Potential exceptions detailed below 448 PartyID The end-client responsible for the trade. Will be an identifier (4 or 5 (Drop only)) uppercase letters, except when PartyRole (452) = 14, where it may be up to 16 characters (Drop only). 452 PartyRole Specifies the role of the party to the trade. At this time, only the following values are valid: 1 = ExecutingFirm 3 = Client ID (Drop only) 6 = IntroducingFirm (Drop only) 7 = EnteringFirm 14 = GiveupClearingFirm (Drop only) 17 = ContraFirm 802
NoPartySubIDs
Drop only. Only relevant when PartyRole (452) = 3. The number of sub-parties involved. If set, must always be 1 Repeating Group PtysSubGrp must occur the number of times specified in NoPartySubIDs (802) 523 PartySubID Drop only. Additional information about the end-client responsible for the trade. Only valid when PartyRole (452) = 3. 803 PartySubIDType Drop only. Only valid when PartyRole (452) = 3. Acceptable values: 4001 = BatsClientIdForIntroducingBroker
Standard Message Trailer
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7
Example Messages and Message Flow
7.1
New Trade Capture Reports
Below illustrates an example of key elements of the message flow for a new trade capture report. Participant to Bats: • • • •
MsgType (35) = AE - Trade Capture Report TradeReportID (571) = CLIENTID111 - Day-unique ID chosen by client TradeReportTransType (487) = 0 - New TradeReportType (856) = 0 - Submit
Bats to Participant (Technical Ack) - if accepted: • MsgType (35) = AR • TrdRptStatus (939) = 0 - Accepted • TradeReportID (571) = CLIENTID111 - Day-unique ID chosen by client copied from the incoming trade capture report. • TradeReportRefID (572) = WXYZ1234 - Unique identifier for the trade capture report provided by Bats. • TradeReportTransType (487) = 0 - New • TradeReportType (856) = 0 - Submit Bats to Participant (Business Ack) • MsgType (35) = AE • TradeReportID (571) = WXYZ1234 - Unique identifier for the trade report confirm as provided by Bats. • TradeReportRefID (572) = CLIENTID111 - Contains the TradeReportID of the original trade capture report to which this message relates. • TradeID (1003) = ABCD1234 - Represents the trade as seen on outbound market data allocated by Bats. Requires to amend, cancel or release a report • TradeReportTransType (487) = 0 - New • TradeReportType (856) = 2 - Accept TradeID (1003) = is a Bats allocated ID as per the MiFID II definition of a Transaction Identification Code. This is the ID seen on outbound market data (Trade Message, Extended Trade Message and Trade Message Unknown).
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7.2
Trade Capture Report Cancellations
Below illustrates an example of key elements of the message flow for cancellation of previously confirmed trade captures. Participant to Bats: • MsgType (35) = AE - Trade Capture Report • TradeID (1003) = ABCD1234 - The TradeID for the confirmed trade report • TradeReportTransType (487) = 1 - Cancel Bats to Participant (Technical Ack) - if rejected: • MsgType (35) = AR • TrdRptStatus (939) = 1 - Rejected • Text (58) = Reason for reject Bats to Participant (Technical Ack) - if accepted: • MsgType (35) = AR • TrdRptStatus (939) = 0 - Accepted Bats to Participant - if cancellation is declined: • • • •
MsgType (35) = AE TradeReportTransType (487) = 1 - Cancel TradeReportType (856) = 3 - Decline Text (58) = Reason for decline
Bats to Participant - if cancellation is confirmed: • MsgType (35) = AE • TradeReportTransType (487) = 1 - Cancel • TradeReportType (856) = 2 - Accept
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7.3
Trade Capture Report Amendments
Below illustrates an example of key elements of the message flow for amendment of previously confirmed trade captures. Participant to Bats: • MsgType (35) = AE - Trade Capture Report • TradeID (1003) = ABCD1234 - The TradeID for the confirmed trade report • TradeReportTransType (487) = 2 - Replace Bats to Participant (Technical Ack) - if rejected: • MsgType (35) = AR • TrdRptStatus (939) = 1 - Rejected • Text (58) = Reason for reject Bats to Participant (Technical Ack) - if accepted: • MsgType (35) = AR • TrdRptStatus (939) = 0 - Accepted Bats to Participant - if amendment is declined: • • • •
MsgType (35) = AE TradeReportTransType (487) = 2 - Replace TradeReportType (856) = 3 - Decline Text (58) = Reason for decline
Bats to Participant - if amendment is confirmed: • MsgType (35) = AE • TradeReportTransType (487) = 2 - Replace • TradeReportType (856) = 2 - Accept
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7.4
Deferred Publication Trade Reports
Below illustrates an example of key elements of the message flow for deferred publication of trades captures. Participant to Bats: • MsgType (35) = AE - Trade Capture Report • TradePublishIndicator (1390) = 2 - Deferred Publication • TransactTime (60) = Time of Trade - As long as this is within the acceptable deferment period, the trade will not be regarded as late Bats to Participant (Technical Ack) - if rejected: • MsgType (35) = AR • TrdRptStatus (939) = 1 - Rejected • Text (58) = Reason for reject Bats to Participant (Technical Ack) - if accepted: • MsgType (35) = AR • TrdRptStatus (939) = 0 - Accepted Bats to Participant - if report is declined: • • • •
MsgType (35) = AE TradeReportTransType (487) = 0 - New TradeReportType (856) = 3 - Decline Text (58) = Reason for decline
Bats to Participant - if report is confirmed and deferment permitted: • • • •
MsgType (35) = AE TradeReportTransType (487) = 0 - New TradeReportType (856) = 2 - Accept TradePublishIndicator (1390) = 2 - Deferred Publication
Bats to Participant - if report is confirmed and deferment is not permitted: • • • • •
MsgType (35) = AE TradeReportTransType (487) = 0 - New TradeReportType (856) = 2 - Accept TradePublishIndicator (1390) = 1 - Publish trade (immediately) Text (58) = A: Trade accepted, but ineligible for deferment - Exact text may vary
Then, once the Participant would like the deferred trade released to the market (note - this may be immediately if the Participant has held onto the trade for the deferment period). Participant to Bats: • MsgType (35) = AE - Trade Capture Report • TradeID (1003) = ABCD1234 - The TradeID for the confirmed trade report • TradeReportTransType (487) = 3 - Release Bats to Participant (Technical Ack) - if rejected: • MsgType (35) = AR • TrdRptStatus (939) = 1 - Rejected c 2017 CBOE
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• Text (58) = Reason for reject Bats to Participant (Technical Ack) - if accepted: • MsgType (35) = AR • TrdRptStatus (939) = 0 - Accepted Bats to Participant - if release is declined: • • • •
MsgType (35) = AE TradeReportTransType (487) = 3 - Release TradeReportType (856) = 3 - Decline Text (58) = Reason for decline
Bats to Participant - if release is confirmed: • MsgType (35) = AE • TradeReportTransType (487) = 3 - Release • TradeReportType (856) = 2 - Accept
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7.5
ETR Matched Trade Report
Below illustrates an example of an ETR submitted for matching with a counterparty. In this case, you might be the ABCD party. • • • • • • • • • • • • • • •
MsgType (35) = AE - Trade Capture Report TradeReportID (571) = 1234 TradeReportTransType (487) = 0 - New TradeReportType (856) = 0 - Submit TradeHandlingInstr (1123) = 2 - ETR Matching TradePublishIndicator (1390) = 0 - Do not publish NoSides (552) = 2 Side (54) = 1 - Buy NoPartyIDs (453) = 1 PartyID (448) = ABCD PartyRole (452) = 7 - EnteringFirm Side (54) = 2 - Sell NoPartyIDs (453) = 1 PartyID (448) = XYZZ PartyRole (452) = 17 - ContraFirm
Then, the counterparty (XYZZ in this case), would enter a similar report, but with party information reversed (except for PartyRoles): • • • • • • • • • • • • • • •
MsgType (35) = AE - Trade Capture Report TradeReportID (571) = 1234 TradeReportTransType (487) = 0 - New TradeReportType (856) = 0 - Submit TradeHandlingInstr (1123) = 2 - ETR Matching TradePublishIndicator (1390) = 0 - Do not publish NoSides (552) = 2 Side (54) = 2 - Sell NoPartyIDs (453) = 1 PartyID (448) = XYZZ PartyRole (452) = 7 - EnteringFirm Side (54) = 1 - Buy NoPartyIDs (453) = 1 PartyID (448) = ABCD PartyRole (452) = 17 - ContraFirm
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7.6
Withdrawing an ETR Matching Instruction
Below illustrates an example of an ETR submitted for matching with a counterparty. • • • • •
MsgType (35) = AE - Trade Capture Report TradeReportID (571) = YOUR1234 TradeReportTransType (487) = 0 - New TradeReportType (856) = 0 - Submit TradeHandlingInstr (1123) = 2 - ETR Matching
When we acknowledge your matching instruction, you will receive a message similar to: • • • • • •
MsgType (35) = AR - Trade Capture Report Ack TradeReportID (571) = YOUR1234 TradeReportRefID (572) = BATS1234 TradeReportTransType (487) = 0 - New TradeReportType (856) = 0 - Submit TradeHandlingInstr (1123) = 2 - ETR Matching
Should you need to withdraw the matching instruction, you should send in a trade report similar to: • • • • • •
MsgType (35) = AE - Trade Capture Report TradeReportID (571) = YOUR3456 TradeReportRefID (572) = BATS1234 TradeReportTransType (487) = 0 - New TradeReportType (856) = 6 - TradeReportCancel TradeHandlingInstr (1123) = 2 - ETR Matching
If successful, you will then receive an acknowledgement of your withdrawal request: • • • • •
MsgType (35) = AR - Trade Capture Report Ack TradeReportID (571) = YOUR3456 TradeReportTransType (487) = 0 - New TradeReportType (856) = 6 - TradeReportCancel TradeHandlingInstr (1123) = 2 - ETR Matching
Followed by a decline of your original report: • • • • • • •
MsgType (35) = AE - Trade Capture Report TradeReportID (571) = BATS1234 TradeReportRefID (572) = YOUR1234 TradeReportTransType (487) = 0 - New TradeReportType (856) = 3 - Decline TradeHandlingInstr (1123) = 2 - ETR Matching Text (58) = U: A Message - ‘U’ indicates User
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7.7
Withdrawing an ETR Matched Cancellation Instruction
Below illustrates an example of an ETR cancellation instruction submitted for matching with a counterparty. • • • • • •
MsgType (35) = AE - Trade Capture Report TradeReportID (571) = YOUR1234 TradeID (1003) = 0001234567 TradeReportTransType (487) = 1 - Cancel TradeReportType (856) = 0 - Submit TradeHandlingInstr (1123) = 2 - ETR Matching
When we acknowledge your cancellation instruction, you will receive a message similar to: • • • • • • •
MsgType (35) = AR - Trade Capture Report Ack TradeReportID (571) = YOUR1234 TradeReportRefID (572) = BATS1234 TradeID (1003) = 0001234567 TradeReportTransType (487) = 1 - Cancel TradeReportType (856) = 0 - Submit TradeHandlingInstr (1123) = 2 - ETR Matching
Should you need to withdraw the cancellation instruction, you should send in a trade report similar to: • • • • • • •
MsgType (35) = AE - Trade Capture Report TradeReportID (571) = YOUR3456 TradeReportRefID (572) = BATS1234 TradeID (1003) = 0001234567 TradeReportTransType (487) = 1 - Cancel TradeReportType (856) = 6 - TradeReportCancel TradeHandlingInstr (1123) = 2 - ETR Matching
If successful, you will then receive an acknowledgement of your withdrawal request: • • • • • •
MsgType (35) = AR - Trade Capture Report Ack TradeReportID (571) = YOUR3456 TradeID (1003) = 0001234567 TradeReportTransType (487) = 1 - Cancel TradeReportType (856) = 6 - TradeReportCancel TradeHandlingInstr (1123) = 2 - ETR Matching
Followed by a decline of your original instruction: • • • • • • • •
MsgType (35) = AE - Trade Capture Report TradeReportID (571) = BATS1234 TradeReportRefID (572) = YOUR1234 TradeID (1003) = 0001234567 TradeReportTransType (487) = 1 - Cancel TradeReportType (856) = 3 - Decline TradeHandlingInstr (1123) = 2 - ETR Matching Text (58) = U: A Message - ‘U’ indicates User
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7.8
ETR Matched Trade Report with Consideration and Tolerance
Below illustrates an example of an ETR submitted for matching with a counterparty, where a consideration is specified instead of a price and a tolerance is allowed. • • • • • • • • • • • • • • • • • • • • •
7.9
MsgType (35) = AE - Trade Capture Report TradeReportID (571) = 1234 TradeReportTransType (487) = 0 TradeReportType (856) = 0 VenueType (1430) = O - Off Book MatchType (574) = 3 - trade reporting (on-exchange) TradePriceCondition (1839) = 16 - Trade not contributing to the Price Discovery Process TradeHandlingInstr (1123) = 2 - ETR Matching Currency (15) = GBX LastShares (32) = 100000 GrossTradeAmt (381) = 10000000000 - GBX 10B or GBP 100M Tolerance (9128) = 1000 - GBX 1000 or GBP 10 NoSides (552) = 2 Side (54) = 1 - Buy NoPartyIDs (453) = 1 PartyID (448) = ABCD PartyRole (452) = 7 - EnteringFirm Side (54) = 2 - Sell NoPartyIDs (453) = 1 PartyID (448) = XYZZ PartyRole (452) = 17 - ContraFirm
ETR Matched Trade Report with Price and Tolerance
Below illustrates an example of an ETR submitted for matching with a counterparty, where a price is specified rather than consideration and a tolerance is allowed. • • • • •
TradeHandlingInstr (1123) = 2 - ETR Matching Currency (15) = GBX LastShares (32) = 100000 LastPrice (31) = 100000 - yielding consideration of GBP 100M Tolerance (9128) = 1000 - GBX 1000 or GBP 10
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7.10
Third Party Confirmed Trades
Below illustrates an example of key elements of the message flow when confirmed trades are reported via a third party (whether a broker or a vendor). Generally, participants will only see these variants of messages if utilising ODROP as the original incoming message will be sent by the third party. Information on sides of the trade that the customer does not have authorisation to view may be anonymised should the third party require such. Participant to Bats: • • • • • • • • • • •
MsgType (35) = AE TradeHandlingInstruction (1123) = 0 - Confirmed NoRootPartyIDs (1116) = 1 RootPartyID (1117) = 3PBV - A code that identifies the third party RootPartyIDSource (1118) = D - Proprietary / Custom Code RootPartyRole (1119) = 6 - IntroducingFirm NoSides (552) = 2 Side (54) = 1 - Buy PartyID (448) = PTY1 - A code that identifies the 1st party to the trade Side (54) = 2 - Sell PartyID (448) = PTY2 - A code that identifies the 2nd party to the trade
Bats to Participant - if confirmed: • • • • • • • • • • • • • •
MsgType (35) = AE TradeHandlingInstruction (1123) = 0 - Confirmed TradeReportType (856) = 2 - Accept TradeID (1003) = ABCD1234 - The TradeID for the confirmed trade report NoRootPartyIDs (1116) = 1 RootPartyID (1117) = 3PBV - A code that identifies the third party RootPartyIDSource (1118) = D - Proprietary / Custom Code RootPartyRole (1119) = 6 - IntroducingFirm NoSides (552) = 2 Side (54) = 1 - Buy PartyID (448) = PTY1 - A code that identifies the 1st party to the trade Side (54) = 2 - Sell PartyID (448) = PTY2 - A code that identifies the 2nd party to the trade MsgType (35) = AE
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7.11
Bats LIS Trade Confirmations
Trade Reports associated with the Bats LIS service follow a very similar message format to a standard Trade Report, with the only differences being an alternative set of Party Roles in the PartyRole (452), in addition to a new BookingType (775) tag and FeeCode (9882) tag. These are described in the following sub-sections. 7.11.1
Party Roles
Trade Reports can have a number of parties associated with each leg. Each is described in the Trade Capture Report via the repeating group Parties, and the PartyRole (452) field within each Party group indicates the role of that party on this leg of the trade. The possible party roles are summarised below. PartyRole (452) 1 (Executing Broker) 3 (Client Id) 6 (Introducing Firm) 14 (Giveup Firm)
Description Bats Firm Id for the Designated Broker BIDS Client Id, identifying the buy-side client. BIDS Firm Id for the Introducing Firm BIDS Firm Id for the Give-Up Firm
Executing Broker (452=1) This firm Id specifies the Bats participant acting as a Designated Broker for a Bats LIS client, or a sell-side firm trading on their own behalf. This is a 4-character alphanumeric field, assigned by Bats. Client Id (452=3) The 5-character BIDS client identifier representing the buy-side client. This Party block may also include a PartySubID, containing an alternate identifier up to 16 alpha-numeric characters. The Client Id and corresponding sub-ID will only only be present in Bats CXE ETRs where it is appropriate to include it on the Designated Broker’s drop feed. (This depends on the relationship between the Introducing Firm and the Designated Broker, and is managed within Bats LIS.) Introducing Firm (452=6) A 4-character Introducing Firm is allocated by the Bats LIS service, and will always be present, though may represent the same firm as the Designated Broker. Giveup Firm (452=14) A value of up to 16-characters (but typically 4) which is passed through from the buy-side OMS to Bats LIS, which instructs the Designated Broker to ’give up’ the trade to the specified broker. This Party block will only be present when applicable. When present, the value of the BookingType (775) field takes significance, indicating whether the give-up is to be in the form a CFD. 7.11.2
Booking Type and Fee Code
The BookingType (775) tag can have the following possible values. If the tag isn’t present then a default value of Regular can be assumed. 0 = Regular 1 = CFD (Contract for Difference) The FeeCode (9882) tag describes the category of fee applicable to the Bats LIS trade. Valid values are: L1 = Designated Broker, clearing for a buyside firm. L2 = Executing Broker, trading in their own name. 7.11.3
Examples
Below illustrates examples of key elements of the trade confirmations from trades resulting from use of the Bats LIS service. Participants will only see these variants of messages if utilising ODROP. Information on sides of the c 2017 CBOE
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trade that the customer does not have authorisation to view will be anonymised. Designated Broker - own flow: Suppose broker Acme Corporation was trading on their own behalf. They may have a Bats Firm Id of ‘ACME’, and a BIDS Firm Id of ‘ACMC’. We would expect to see their leg of any trade with: NoPartyIDs (453) = 2 PartyRole (452) = 1 - ExecutingFirm PartyID (448) = ACME PartyRole (452) = 6 - IntroducingFirm PartyID (448) = ACMC Buy Side firm using Designated Broker: Suppose buy side firm FMRCO was using broker Acme Corporation, with the above identifiers, we would expect to see their leg of any trade with: NoPartyIDs (453) = 3 PartyRole (452) = 1 - ExecutingFirm PartyID (448) = ACME PartyRole (452) = 6 - IntroducingFirm PartyID (448) = ACMC PartyRole (452) = 3 - ClientID PartyID (448) = FMRCO. Optionally, if FMRCO is known to Acme Corporation as FMR-LISX, we would also see PartySubID (523) = FMR-LISX along with other supporting tags as shown in later examples. Buy Side firm using Introducing Broker: Suppose buy side firm FMRCO was using Introducing Broker BROK, who was using broker Acme Corporation as their Designated Broker, we would expect to see their leg of any trade with: NoPartyIDs (453) = 3 PartyRole (452) = 1 - ExecutingFirm PartyID (448) = ACME PartyRole (452) = 6 - IntroducingFirm PartyID (448) = BROK PartyRole (452) = 3 - ClientID PartyID (448) = FMRCO. Optionally, if FMRCO is known to their introducing broker as FMR-LISX, we would also see PartySubID (523) = FMR-LISX along with other supporting tags as shown in later examples.
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7.11.4
Standard Trades
Bats to Participant - with anonymised side: • • • • • • • • • • • • • • • • • • • • •
MsgType (35) = AE TradeHandlingInstruction (1123) = 0 - Confirmed TradeReportType (856) = 2 - Accept TradeID (1003) = ABCD1234 - The TradeID for the confirmed trade report NoRootPartyIDs (1116) = 1 RootPartyID (1117) = LISX RootPartyIDSource (1118) = G - MIC RootPartyRole (1119) = 64 - MultilateralTradingFacility NoSides (552) = 1 Side (54) = 1 - Buy FeeCode (9882) = L1 - Identifies the fee category NoPartyIDs (54) = 3 PartyID (448) = PTY1 - A four character code that identifies the 1st Designated Broker PartyRole (452) = 1 - ExecutingFirm PartyID (448) = PTY2 - A four character code that identifies the 1st Introducing Broker PartyRole (452) = 6 - IntroducingFirm PartyID (448) = PTY3 - A four or five character code that identifies the 1st Client PartyRole (452) = 3 - ClientID NoPartySubIDs (802) = 1 PartySubID (523) = PTY2-PTY3 - Up to 16 characters identifying the Client to the 1st Introducing Broker PartySubIDType (803) = 4001 - BatsClientIdForIntroducingBroker
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7.11.5
CFD Booking with Give Up
Bats to Participant - with anonymised side: • • • • • • • • • • • • • • • • • • • • • • • •
MsgType (35) = AE TradeHandlingInstruction (1123) = 0 - Confirmed TradeReportType (856) = 2 - Accept TradeID (1003) = ABCD1234 - The TradeID for the confirmed trade report NoRootPartyIDs (1116) = 1 RootPartyID (1117) = LISX RootPartyIDSource (1118) = G - MIC RootPartyRole (1119) = 64 - MultilateralTradingFacility NoSides (552) = 1 Side (54) = 1 - Buy FeeCode (9882) = L1 - Identifies the fee category BookingType (775) = 1 - CFD NoPartyIDs (54) = 4 PartyID (448) = PTY1 - A four character code that identifies the 1st Designated Broker PartyRole (452) = 1 - ExecutingFirm PartyID (448) = PTY2 - A four character code that identifies the 1st Introducing Broker PartyRole (452) = 6 - IntroducingFirm PartyID (448) = PTY3 - A four or five character code that identifies the 1st Client PartyRole (452) = 3 - ClientID NoPartySubIDs (802) = 1 PartySubID (523) = PTY2-PTY3 - Up to 16 characters identifying the Client to the 1st Introducing Broker PartySubIDType (803) = 4001 - BatsClientIdForIntroducingBroker PartyID (448) = PTY4 - Up to 16 characters that identifies the 1st Give Up Broker PartyRole (452) = 14 - GiveupClearingFirm
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8
Common Session Level Issues
Bats uses FIX 4.2 as specified by the FPL Document Version 4.2 (with Errata 20010501) with business level extensions as described in this document. The session level of the FPL specification is followed as closely as possible. The version with errata cleared up many session level ambiguities present in the earlier version 4.2 (March 1, 2000). The following sections emphasize a few common problem areas in implementations of the FIX session protocol. Typographical conventions: • Anchor locations in the FPL document are shown in blue. • Text in bold was emphasized in the original FPL specification. • Emphasis added by Bats is shown in purple. • Notes added by Bats are shown in green.
8.1
Ordered Message Processing
From Financial Information Exchange Protocol/FIX Message Format and Delivery/Ordered Message Processing: The FIX protocol assumes complete ordered delivery of messages between parties. Implementers should consider this when designing message gap fill processes. Two options exist for dealing with gaps, either request all messages subsequent to the last message received or ask for the specific message missed while maintaining an ordered list of all newer messages. For example, if the receiver misses the second of five messages, the application could ignore messages 3 through 5 and generate a resend request for messages 2 through 5, or, preferably 2 through 0 (where 0 represents infinity). Another option would involve saving messages 3 through 5 and resending only message 2. In both cases, messages 3 through 5 should not be processing before message 2.
8.2
Logon
From Financial Information Exchange Protocol/Session Protocol/Logon: After the initiator has been authenticated, the acceptor will respond immediately with a confirming Logon message.
8.3
Message Recovery
From Financial Information Exchange Protocol/Session Protocol/Message Recovery: When the incoming sequence number does not match the expected number, corrective processing is required. Note that the SeqReset-Reset message ([Bats: this refers only to GapFillFlag (123) = N] used only to recover from a disaster scenario vs. normal resent request processing) is an exception to this rule as it should be processed without regards to its MsgSeqNum (34). If the incoming message has a sequence number less than expected and the PossDupFlag (43) is not set, it indicates a serious error. It is strongly recommended that the session be terminated and manual intervention be initiated. If the incoming sequence number is greater than expected, it indicates that messages were missed and retransmission of the messages is requested via the Resend Request (see earlier section, Ordered Message Processing ). ... c 2017 CBOE
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If there are consecutive administrative messages to be resent, it is suggested that only one SeqResetGapFill message be sent in their place. The sequence number of the SeqReset-GapFill message is the next expected outbound sequence number. The NewSeqNo (36) field of the GapFill message contains the sequence number of the highest administrative message in the group plus 1. For example, during a Resend operation there are 7 sequential administrative messages waiting to be resent. They start with sequence number 9 and end with sequence number 15. Instead of transmitting 7 GapFill messages (which is perfectly legal, but not network friendly), a SeqReset-GapFill message may be sent. The sequence number of the Gap Fill message is set to 9 because the remote side is expecting that as the next sequence number. The NewSeqNo (36) field of the Gap Fill message contains the number 16, because that will be the sequence number of the next message to be transmitted. Sequence number checking is a vital part of FIX session management. However, a discrepancy in the sequence number stream is handled differently for certain classes of FIX messages. The table below lists the actions to be taken when the incoming sequence number is greater than the expected incoming sequence number. NOTE: In all cases except the Sequence Reset – Reset message, the FIX session should be terminated if the incoming sequence number is less than expected and the PossDupFlag (43) is not set. A Logout message with some descriptive text should be sent to the other side before closing the session. Response by Message Type Message Type Logon
Action to Be Taken on Sequence # Mismatch Must always be the first message transmitted. Authenticate and accept the connection. After sending a Logon confirmation back, send a ResendRequest if a message gap was detected in the Logon sequence number.
...
8.4
Resend Request
From Financial Information Exchange Protocol/Administrative Messages/Resend Request: Note: the sending application may wish to consider the message type when resending messages; e.g., if a new order is in the resend series and a significant time period has elapsed since its original inception, the sender may not wish to retransmit the order given the potential for changed market conditions. (The Sequence Reset-Gap Fill message is used to skip message that a sender does not wish to resend.)
8.5
Sequence Reset – Gap Fill
From Financial Information Exchange Protocol/Administrative Messages/Sequence Reset (Gap Fill): The sequence reset message is used by the sending application to reset the incoming sequence number on the opposing side. This message has two modes: “Sequence Reset – Gap Fill when GapFillFlag (123) is ’Y’ and “Sequence Reset – Reset” when GapFillFlag (123) is ’N’ or not present. The “Sequence Reset – Reset” mode should only be used to recover from a disaster situation which cannot e otherwise recovered via “Gap Fill” mode. The sequence reset message can be used in the following situations: • During normal resend processing, the sending application may choose not to send a message (e.g., an aged order). The Sequence Reset – Gap Fill is used to mark the place of that message. c 2017 CBOE
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• During normal resend processing, a number of administrative messages are not resent, the Sequence Reset – Gap Fill message is used to fill the sequence gap created. ... The sending application will initiate the sequence reset. The message in all situations specifies the NewSeqNo (36) to reset as the value of the next sequence number immediately following the messages and/or sequence numbers being skipped. ... If the GapFillFlag (123) field is present (and equal to ’Y’), the MsgSeqNum (34) should conform to standard message sequencing rules (i.e., the MsgSeqNum (34) of the SeqReset-GapFill message should represent the beginning MsgSeqNum (34) in the gap fill range because the remote side is expecting that next message). The sequence reset can only increase the sequence number. If a sequence reset is received attempting to decrease the next expected sequence number, the message should be rejected and treated as a serious error. It is possible to have multiple resend requests issued in a row (i.e., 5 to 10 followed by 5 to 11). If sequence number 8, 10, and 11 represent application messages while 5–7 and 9 represent administrative messages, the series of messages as a result of the resend request may appear as SeqReset-GapFill with NewSeqNo (36) of 8, message 8, SeqReset-GapFill with NewSeqNo (36) of 10, and message 10. This could then be followed by SeqReset-GapFill with NewSeqNo (36) of 8, message 8, SeqReset-GapFill with NewSeqNo (36) of 10, message 10, and message 11. One must be careful to ignore the duplicate SeqReset-GapFill which is attempting to lower the next expected sequence number. This can be detected by checking to see if its MsgSeqNum (34) is less than expected. If so, the SeqReset-GapFill is a duplicate and should be discarded.
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9
FIX Drop
Bats offers two types of FIX Drop ports (Standard FIX Drop and Order by Order FIX Drop). Both port types do not accept orders. Their purpose is to provide real time information about order flow. They may be configured to send order flow based on various combinations of information relating to specific Participants, trading firm identifiers, and/or sessions. With proper authorisation (e.g., clearing or sponsored relationships), a single FIX Drop session can be used to obtain information about multiple Participants.
9.1
Standard FIX Drop
Standard FIX drop ports only send execution information on fills (i.e., execution reports where ExecType (150) = 1 (Partially Filled) or 2 (Filled)). It can also be configured to send execution reports for trades resulting from Trade Capture Reports (where ExecType (150) = F (Trade)) and Trade Cancel/Correction messages (where MsgType (35) = UCC) resulting from cancels/amends.
9.2
Order By Order FIX Drop
All order message types are supported including, but not limited to: • ExecType (150) = 0: Acknowledgments • ExecType (150) = 1 or 2: Partially Filled, Filled • ExecType (150) = 4: Canceled • ExecType (150) = 5: Replaced • ExecType (150) = 8: Rejected • MsgType (35) = 9: Order Cancel Reject • MsgType (35) = UCC: Trade Cancel/Correction (optionally, if configured at the port level) • MsgType (35) = AE: Trade Capture Report (optionally, if configured at the port level) • MsgType (35) = AR: Trade Capture Report Ack (optionally, if configured at the port level) If rejects or cancels are due to incomplete or incorrect clearing information, they may be unavailable on Order by Order FIX Drop ports. Users of Order by Order FIX Drop must always be prepared to receive new/unknown FIX tag and FIX tag values for BOE/FIX ports being monitored. Bats reserves the right to add new FIX tags and to update values distributed on Order by Order FIX Drop with no notice. 9.2.1
Bats LIS
When configured, Order by Order FIX Drop ports will also include Trade Confirmations from the Bats LIS system. These Trade Confirmation messages will contain additional fields. See section § 7.11, p. 56 for a description.
9.3
Port Options
Both types of FIX Drop ports can be optionally configured with the following features: 1. Choice of various Bats supported symbology types.
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2. Sending of Trade Cancel/Correction (MsgType (35) = UCC) messages. Please note that enabling these messages will be dependent on enabling of trade cancels/corrections on the corresponding FIX order entry ports. 3. Enable unique wash execution identifiers.
9.4
Bats LIS ODROP
See section § 7.11, p. 56 for a description on the Trade Confirmations which will be sent on ODROP for Bats LIS.
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10
FIX Differences Between US and Europe
This section describes, in detail, the differences between the FIX implementations of the Bats US Equities exchanges and Bats. The FIX session level implementation and supported messages are mostly identical between the US and Europe. Trade Capture Reports All messaging related to the use of Trade Capture Reports is only available in Europe. Tick Sizes In the United States, there is currently a single tick band for all symbols. Prices less than $1.00 have a tick size of $0.0001. Prices greater than $1.00 have a tick size of $0.01. In Europe, tick sizes vary by market, price, and symbol. Reference data files are available daily which enumerate the tick sizes. Routing Instructions The values which are common across the US and Europe are RoutingInst = B, P, R, Q. Display Indicator Values for the DisplayIndicator (9479) are different. Europe only defines DisplayIndicator (9479) = X (visible) and I (invisible). US Equities offers additional values for price sliding. Bypass Hidden The BypassHidden (9687) is not supported in Europe. Trade Liquidity Indicator Values for the TradeLiquidityIndicator (9730) are different. Values which are common across the US and Europe are TradeLiquidityIndicator (9730) = A (Added) and R (Removed). US Equities offers values for routing which Europe does not. Europe offers values for fills done in the Bats Dark Pool which the US does not. Discretionary Orders For regulatory reasons, discretionary orders, specified in the US with DiscretionAmount (9622), are not supported in Europe. Sell Short The sell short Side (54) = 5 value is not supported in Europe. Execution Instruction US Equities support ExecInst (18) values for intermarket sweep orders (18=f) and Dark Scan (18=z) which are not supported in Europe.
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Working and Display Price Fields The WorkingPrice (9690) and InitialDisplayPrice (9691) fields are not supported in Europe. These fields are relevant for price sliding which is only supported in the US. Symbology Europe allows specifying ISIN, RIC, or Uniform symbologies which require the use of SecurityExchange (207), Currency (15), SecurityID (48), IDSource (22), and/or Symbol (55). US Equities uses Symbol (55) and SymbolSfx (65) only. Market Hours Pre- and post-market trading are supported in the US, but not in Europe. Central Counterparty The optional reply field CentralCounterparty (7772) is only supported in Europe. Contra Broker The ContraBroker (375) tag will contain completely different values in Europe than in the US.
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11
Support
Please email questions or comments regarding this specification to
[email protected].
Revision History 9 July 2008 16 July 2008 2 September 2008
8 September 2008
1 October 2008 11 November 2008
16 December 2008 3 February 2009 26 March 2009 27 March 2009 9 July 2009 15 July 2009 16 July 2009 23 July 2009
30 July 2009 24 August 2009 9 September 2009 7 October 2009 19 October 2009 23 October 2009
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Initial draft version. Europe URL and email address. Updated tick sizes. Removed references to WorkingPrice (9690). Removed wording that prices will be slid to a less aggressive amount if they do not fit the tick size for a symbol. Orders will be rejected if they do not fit the tick size. Added DisplayIndicator (9479) to “Bats Specific Fields” and to allowed fields for “New Order – Single”. Added section entitled “Hidden Orders”. Added information about the Text (58) that will be received in the event of an order which, if executed, would happen outside the allowed price collar. Added clarification that OrdRejReason (103) will not always be sent on order rejects. Adjusted price collar for allowed executions to be up to 20% away from the market. Added ability to allocate trades to house or client account regardless of order capacity by using the Account (1) field. Updated front page text to note FSA authorisation. Added information on how notional value is determined for different order types. Added details for new Trade Cancel/Correct (UCC) message type. Discretionary orders are no longer permitted. Added new order type Post Only At Limit (RoutingInst (9303) = Q) and new tag MaxRemovePct (9618). Added Bats Dark Pool routing. New values for RoutingInst (9303) and TradeLiquidityIndicator (9730). Added ability to post only to Bats Dark Pool. Added Bats Market On Close. New values for ExecInst (18), OrdType (40), TimeInForce (59), and ExecType (150). Added Participant Trade Prevention functionality. New tag of PreventParticipantMatch (7928). Added new section “FIX Differences Between US And Europe”. Documented OrdStatus (39) = A. Only occurs on a Cancel/Replace reject if the FIX Handler is awaiting an acknowledgement on a new order from the Matching Engine. RoutingInst (9303) = BA or PA will now route any order which is not eligible for the Bats Dark Pool to the integrated book. Updates to participant match prevention. Removed reference to WorkingPrice (9690) which isn’t used on Bats. Fixed wording about which symbology tags are required on cancel order messages. Central Counterparty updates. Clarified in the Execution Report that TradeLiquidityIndicator (9730) can also take on values AD and RD for executions which occur in the Bats Dark Pool. Noted that ExecInst (18) will be returned on Execution Reports if set on the original order.
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19 November 2009
24 January 2010
24 January 2010 18 February 2010
9 March 2010
16 March 2010
15 April 2010
30 April 2010
7 May 2010 20 May 2010 1 June 2010
26 August 2010 27 August 2010 12 October 2010
22 October 2010
25 November 2010
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Version 2.0. Added new “FIX Drop” section. Numerous formatting changes. ExecType (150) = 3 (Done for Day) was listed as a possible value Bats would send, but it is not. Version 2.1. Removed RoutingInst (9303) = PA or PD. Added dark and onward routing. New values for RoutingInst (9303), ExecInst (18), TradeLiquidityIndicator (9730), Text (58) (reject message if routing is unavailable). Version 2.2. New values for ContraBroker (375). Version 2.3. Added Common Session Level Issues (§ 8, p. 60). Removed section about Market BBO and added Execution Collars (§ 1.9, p. 6) and Peg Order Pricing (1.11). Version 2.4. RoutingInst (9303) = RL or RC will re-route (RECYCLE) a booked order if another market locks or crosses the limit. Version 2.5. By default Bats Trading At Last orders are now visible unless explicitly hidden using DisplayIndicator (9479) = I. OrdType (40) values 1 (Market) and 2 (Limit) are now accepted during the TAL phase. Version 2.6 Removed order quantity limit of 999,999. The new limit is 99,999,999 shares, but may be lowered if requested by a Participant or Sponsor. Version 2.7 Added Bats Dark Self Cross (§ ??, p. ??). Added CrossFlag (77401). Added new value for RoutingInst (9303) (BX = Bats Dark Self Cross). New values for TradeLiquidityIndicator (9730) (AM, RM). New values for ContraBroker (375). Version 2.8 Added PreventParticipantMatch (7928) = d. Clarified that Post Only orders will only reject when removing visible liquidity. Version 2.9 Added Bats Plus (§ 1.13, p. 7) and Account Field (§ 1.17, p. 8) sections. Update (§ 1.12, p. 7) to clarify differences to Bats Plus. New values for RoutingInst (9309) and clarification of Account (1) Version 2.10 Fixed minor typographical errors. Version 2.11 Parallel-D routing strategy. New values for RoutingInst (9303). Version 2.12 Restatement execution reports may be optionally received on reserve reload, allowing Participants to know the new OrderID that will be shown on Bats’ market data feeds. New initial character on Text (58) field of r indicating the restatement was sent due to reserve reload. See new section § 1.10, p. 6. Version 2.13 Midpoint peg orders may now have a limit price at one-half the tick size (§ 1.4, p. 5). Version 2.14 Parallel-2D routing strategy. New values for RoutingInst (9303). Added Side (54) to Trade Cancel/Correct (UCC) message type.
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14 January 2011
2 February 2011
8 February 2011 22 March 2011
5 April 2011
14 April 2011
27 April 2011 26 May 2011
31 May 2011 29 June 2011
30 June 2011 7 July 2011
25 Jul 2011
10 Oct 2011 27 Oct 2011 7 November 2011
13 December 2011 4 January 2012
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Version 2.15 Noted that midpoint peg orders at half-tick sizes may only specify limit prices out to a maximum of four decimal places. Version 2.16 OrdStatus (39) = C was documented, but never sent in practice. Removed this value from the specification. Version 2.17 Noted that midpoint peg orders are not tick size validated. Version 2.18 Corrected various instances where MBBO was incorrectly referenced instead of PBBO. Version 2.19 Removed 1 and 2 from values which are communicated in ExecTransType (20) for execution reports. Removed ExecRefID (19) from execution reports as it is never sent. AvgPx (6) was missing from the execution report documentation. Version 2.20 Updated RoutingInst (9303) values of R, RL, and RC to note that Parallel-D is used, not CYCLE. Version 2.21 Added new value AI for TradeLiquidityIndicator (9730). Version 2.22 Symbol (55) may now be sent as the RIC or Ticker of the stock identified by SecurityID (48). Added new values ECCP and NONE for FIXCentralCounterparty (7772). Version 2.23 Added new value RT for TradeLiquidityIndicator (9730). Version 2.24 Noted that, if opted into at the firm or port level, TransactTime (60) will be sent with microsecond resolution. Version 2.25 Noted that ClearingFirm (439) is optional. Version 2.26 Noted that, if opted into at the firm or port level, SendingTime (52) and OrigSendingTime (122) will be sent with microsecond resolution. Version 2.27 Added optional 4th character to RoutingInst (9303) used to select the resting book for routed orders. The Bats Plus RoutingInst values of PP and PL have been deprecated in favour of Y and L which provide backwards compatibility with the US specification. Version 2.28 Removed all references to MOC/TAL. Version 2.29 Added reason code of ‘m’ to Text (58) Version 2.30 Clarified wording for MinQty (110) to note that it is usable with Bats Dark Pool orders. Added Bats Select. Version 2.31 Added reason code of ‘T’ to Text (58) Version 2.32 Added reason code of ‘o’ to Text (58). Noted that Bats reserves the right to add new FIX tags and to update values distributed on Order by Order FIX Drop with no notice.
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19 January 2012
5 March 2012
23 April 2012 21 May 2012
28 May 2012
26 October 2012 9 November 2012 21 November 2012 7 December 2012 19 December 2012
15 February 2013
25 March 2013
17 May 2013 23 May 2013
31 May 2013
17 June 2013
28 June 2013
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Version 2.33 Updated to reflect the new BATS Chi-X Europe name. Clarified CHIX as a valid value for both ContraBroker (375) and TargetCompID (56) on CXE ports. Version 2.34 Pegged orders are now temporarily suspended rather than cancelled when the exchange is not in continous trading. Version 2.35 Clarity around session level reject messages (MsgType (35) = 3). Version 2.36 Renamed Bats Select to Bats DRTOnly and clarified use of the 2nd and 3rd characters of tag RoutingInst (9303). Version 2.37 Updated PreventMemberMatch (7928) to include a 3rd character for Trading Group ID. Version 2.38 Added Lit Sweep and Dark Sweep interbook order types. Version 2.39 Clarified contents of tag ContraBroker (375). Version 2.40 Added Lit Sweep (Sequential) interbook order type. Version 2.41 Added SubLiquidityIndictor value K Version 2.42 Added TradeCaptureReport and associated message types. Removed Bats Dark Self Cross order type. Version 2.43 Enhancements to Trade Capture Reports: TrdType (828) = 30 added, used to specify a ‘special price’ trade; TrdType (828) = 0 will now be used to specify regular (not ‘special’) priced trades, rather than 54; TransactTime (60) and TradeDate (75) are no longer ignored. Version 2.44 Enhancements to Trade Capture Reports: PartyRole (452) = 7 added, used to specify the party reporting the trade; PartyRole (452) = 17 added, used to specify the party the trade is alleged against; PartyId (448) Relaxed requirement for both parties to be identical Version 2.45 Clarification of optional availability of Trade Capture Reports over FIX DROP ports Version 2.46 Rewording of FIX Differences Between US and Europe § 10, p. 65, following Recognised Investment Exchange status, to remove ambigious usage of the terms “the MTF” and “the Exchange”. Version 2.47 Removal of references to the Cycle routing strategy which has been retired (ParallelD and Parallel-2D replace it). Version 2.48 Enhancements to Trade Capture Reports: Support for cancels and amends. Added message flow section Version 2.49 Removal of SEDOL support. Clarified usage of MinQty (110) for Bats Dark Pool. Added Large In Scale reason code.
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18 July 2013
20 August 2013
3 October 2013 26 October 2013
22 January 2014
21 March 2014 28 March 2014 3 April 2014
20 May 2014
16 June 2014 25 June 2014
25 July 2014 25 July 2014 8 October 2014
10 October 2014
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Version 2.50 Added CorrectedSize (6655) for Trade Cancel/Correct messages. Made OrderCapacity (528) optional for Trade Capture Reports. Added various fields to the TradeCaptureReport that are available in the TRF to help normalise the two specifications. Adjusted behaviour of TradeReportTransType (487) and TradeReportType (856) in trade capture confirmations/declines. Added example message flow section for deferred publication trade reports. Version 2.51 Clarified behaviour of TradeReportID (571) for Participant submitted trade reports. Added RptTime (7570). Remove behaviour no longer valid now that we’re past the ETR Cancel/Amend effective date Version 2.52 Remove ’Effective’ notes now we’re past their go live date Version 2.53 Clarification of optionally configured Trade Cancel/Correct messages over FIX DROP ports. Version 2.54 Removed MTFAccessFee (9621) from trade capture confirmations. Additional supported values for TrdType (828). Version 2.55 Addition of ExecMethod (2405) for trade captures. Version 2.56 Removed ‘effective from’ labels. Version 2.57 Allow the use of TrdSubType (829) and SecondaryTrdType (855) for trade reports. Clarification that AccessFee (9621) is indicative Version 2.58 Bug fix location of SendingTime (52) (should be session header). Clarified name of proposed MMT 3.7 field. Version 2.59 Increased the number of decimal places supported for Trade Capture Reports. Version 2.60 Added changes to Trade Capture messages effective with the Bats Q3 2014 release, being those that follow. VenueType (1430), MatchType (574) and PublicationMode (1390) become mandatory. Deprecated use of VenueType (1430) = X in favour of VenueType (1430) = O. Deprecated use of PreviouslyReported (570) in favour of values in PublicationMode (1390). Added support for PublicationMode (1390) = 0 (Do Not Publish). Deprecated use of TrdType (828) = 59 in favour of TrdType (828) = 62. Deprecated use of TrdType (828) = 60 in favour of TrdType (828) = 63. Deprecated use of SecondaryTrdType (855) = 58 in favour of SecondaryTrdType (855) = 64. Moved TradingSessionSubID (625) into the repeating group. Added support for OrderCategory (1115). Version 2.61 Removed ‘effective from 25th of July’ labels. Addition of Dark Lit orders. Version 2.62 Removed deprecated content. Version 2.63 Refer to the Participant Manual for execution collar (aka order price collar) for the actual percentages used. Version 2.64 Clarified ability to reuse ClOrdId with Modify Orders when daily limit trading risk controls are enabled.
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29 October 2014
10 November 2014 27 November 2014
19 January 2015
2 March 2015
14 April 2015
27 April 2015 19 May 2015 12 June 2015 13 June 2015
14 July 2015 1 December 2015
8 January 2016
19 February 2016 30 March 2016 29 April 2016 2 June 2016
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Version 2.65 Clarified usage of OrderCategory. Added AtTheOpen and AtTheClose to TimeInForce for auctions. Version 2.66 Added new reject reason code. Version 2.67 Clarified usage of PartyRole (452) = 7. Added new value C for TradeLiquidityIndicator (9730). Version 2.68 Clarified usage of OrderCategory (1115). Added missing reason code ‘p’. Clarified usage of FIX 4.4 sessions. Added additional fields to Trade Capture Report Ack and Bats to Participant Trade Capture Report. Clarified side normalisation in Bats to Participant Trade Capture related messages. Added support for GrossTradeAmt (381). Changed TradeHandlingInstr (1123) in Bats to Participant Trade Capture Report to echo back supplied value. Version 2.70 EuroCCP NV clearing trade reports will now be truncated at the same level of precision as elsewhere. Add TradeReportRefID (572) to Trade Capture Report. Version 2.71 Clarification of MinQty (110) behaviour following “Minimum Execution Size” (MES) changes. Version 2.72 Remove ’Effective’ notes now we’re past their go live date Version 2.73 Added additional example messages for ETR Matching. Version 2.74 Added PreventParticipantMatch (7928) = P = Port Owner Version 2.75 Added support within Trade Capture Report messages for SettlType (63), SettlDate (64) and SettlPrice (730), as well as for DROP fed Execution Report and Trade Cancel Or Correct messages. Added support for periodic auctions. Added support for LastMkt (30). Version 2.76 Clarify that settlement prices cannot be amended. Version 2.77 Clarified that TransactTime (60) is only optional when TradeReportTransType (487) = 0. Version 2.78 Removed support for the Partial Post Only at Limit order type. Added support for a MiFID II Double Cap related reject reason code. Version 2.79 Updated for new branding. Version 2.80 Updated description for TradeDate (75). Version 2.81 Removed ‘Effective’ content related to the Q2 2016 release. Version 2.82 Formatting changes regarding repeating groups. Added detail about Trade Capture Report Ack messages being supported on ODROP. Added optional SideExecID.
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27 July 2016
18 August 2016
26 August 2016 8 September 2016
22 September 2016
28 September 2016 8 November 2016
31 January 2017 8 February 2017 2 March 2017
20 March 2017
25 April 2017
3 May 2017
24 May 2017
2 June 2017
20 July 2017
20 September 2017
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Version 2.83 Removed support for midpoint price, ExecInst (18) = M, on Trade Capture Reports. Clarified PreventParticipantMatch values. Version 2.84 Added support for new MiFID II Record Keeping fields on new orders. These fields are all considered optional at this stage, prior to the MiFID II regulations coming into effect. Version 2.85 Incorporated detail on upcoming Bats LIS fields in Drop. Version 2.86 Minor corrections to the FIX tag number associated with PartyRole, in ‘Bats LIS Trade Confirmations’. Version 2.87 Redefinition of PartyIDSource (447), and addition of Algo (20001), MiFID II related fields on “New Order – Single”. Version 2.88 Correction to expected values for LiqProvOnly (9215) and Algo (20001). Version 2.89 Add Order Record Keeping Fields to Execution Report Message from Bats to Participant. Version 2.90 Change in spec to support MMT v3 and latest Order Record Keeping changes. Version 2.91 Review feedback for support of MMT v3 and Order Record Keeping. Version 2.92 Correction to FIX values for TrdRegPublicationReasons (8013) for TCRs to include LargeInScale. Version 2.93 Correction to FIX values for TrdRegPublicationReasons (8013) for Execution Report to include Negotiated waiver types. Correction to valid values range for Short Code. Clarified TrdType values in TradeCaptureReport. Confirmed values for TrdRegPublicationReasons Version 2.94 Update FIX values for PartyRoleQualifier (2376) to allow None when the corresponding PartyId is one of the reserved values. Version 2.95 Correction for FeeCode (9882) on Trade Capture Report Message from Bats to Participant. Clarified valid values for OrderOrigination (1724). Version 2.96 Corrected description for TradePriceCondition (1839)=16 to drive MMT v3 ’PRIC’ on market data. Version 2.97 Corrected description for TradePriceCondition (1839). Driving MMT v3 ’RPRI’ on market data is not valid on-exchange. Version 2.98 Corrected description for TrdType (828). Trade reports on dark trades are not valid on-exchange. MMT v3.04 support for Q4 2017 release. Version 2.99 Removed support for ILQD and SIZE deferrals which are only applicable to RTS 2 instruments from TrdRegPublicationReasons (8013). TrdRegPublicationReasons (8013) was added to inbound Trade Capture Reports when the Q4 2017 release was announced; no longer necessary due to removing support for SIZE.
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